Sandeep Juneja

Tata Institute of Fundamental Research (TIFR)

STCS, TIFR, 1, Homi Bhabha Road

Colaba

Mumbai, 400005

India

  • Tata Institute of Fundamental Research (TIFR)

SCHOLARLY PAPERS

7

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1,134

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14

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20

Scholarly Papers (7)

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1.

Portfolio Credit Risk with Extremal Dependence

Number of pages: 31 Posted: 15 Jul 2005
Achal Bassamboo, Sandeep Juneja and Assaf Zeevi
Northwestern University - Department of Managerial Economics and Decision Sciences (MEDS), Tata Institute of Fundamental Research (TIFR) and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 278 (183,663)
Citation 2

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Portfolio, credit, asymptotics, simulation, importance sampling, rare events, risk management

2.

Nested Simulation in Portfolio Risk Measurement

Management Science, Vol. 56, No. 10, October 2010, FEDS Working Paper No. 2008-21
Number of pages: 33 Posted: 29 Jan 2011
Michael B. Gordy and Sandeep Juneja
Board of Governors of the Federal Reserve System and Tata Institute of Fundamental Research (TIFR)
Downloads 256 (199,483)
Citation 5

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nested simulation, loss distribution, value-at-risk, expected shortfall, jackknife estimator, dynamic allocation

3.

Entropy Approach to Incorporate Fat Tailed Constraints in Financial Models

Number of pages: 36 Posted: 26 Jul 2010
Santanu Dey and Sandeep Juneja
Tata Institute of Fundamental Research (TIFR) and Tata Institute of Fundamental Research (TIFR)
Downloads 206 (245,506)
Citation 3

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Entropy, Tsallis Entropy, Fat Tail, Option pricing, Calibration, Portfolio Theory

4.

Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator

Number of pages: 49 Posted: 19 Jun 2017 Last Revised: 04 Jan 2023
Anand Deo and Sandeep Juneja
Tata Institute of Fundamental Research (TIFR) and Tata Institute of Fundamental Research (TIFR)
Downloads 135 (351,744)

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credit risk, default probabilities, calibration, Logit models, Default intensity model, maximum likelihood estimator

5.

Learning to Ask the Right Questions: A Multi-armed Bandits Approach

Number of pages: 77 Posted: 06 Mar 2023
Achal Bassamboo, Vikas Deep, Sandeep Juneja and Assaf Zeevi
Northwestern University - Kellogg School of Management, Northwestern University, Kellogg School of Management, Students, Tata Institute of Fundamental Research (TIFR) and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 108 (414,548)

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adaptive testing, multi-arm bandits, best arm identification, adaptive algorithms, Gaussian approximation

6.

American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics

Number of pages: 26 Posted: 09 Nov 2014 Last Revised: 13 Apr 2015
Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
Adam Smith Business School, Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 76 (518,506)
Citation 4

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Stochastic volatility, American option, maturity randomization, singular perturbation theory, regular perturbation theory, Monte Carlo, control variate

7.

Limiting Distributional Fixed Points in Systemic Risk Graph Models

Number of pages: 16 Posted: 09 Jul 2019
Anand Deo and Sandeep Juneja
Tata Institute of Fundamental Research (TIFR) and Tata Institute of Fundamental Research (TIFR)
Downloads 75 (522,336)

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Systemic Risk, Incomplete Information, Random Graphs, Optimal Transport, Weak Limit