Leela R. Mitra

CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

John Crank Building

Brunel University

Uxbridge, UB8 3PH

United Kingdom

OptiRisk Systems

Research Analyst

UNICOM R&D House

One Oxford Road

Uxbridge, UB9 4DA

United Kingdom

Brunel University

Brunel University

United Kingdom

  • CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

  • OptiRisk Systems

  • Brunel University

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment

Number of pages: 15 Posted: 26 Jun 2009 Last Revised: 05 Feb 2010
Leela R. Mitra, Gautam Mitra and Dan di Bartolomeo
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Northfield Information Services
Downloads 501 (60,454)
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2.

Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model

Number of pages: 43 Posted: 11 Feb 2008
Leela R. Mitra, Gautam Mitra and Rogemar Mamon
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Department of Statistical & Actuarial Sciences, University of Western Ontario
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Credit risk, Markov model, regime switching, risk measures, Value at Risk (VaR), Conditional Value at Risk (CVaR)

3.

Mixture Distribution Scenarios for Investment Decisions with Downside Risk

Number of pages: 31 Posted: 29 Aug 2008 Last Revised: 16 Jul 2009
Leela R. Mitra, Xiaochen (Michael) Sun, Diana Roman, Gautam Mitra and Keming Yu
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, HSBC Global Asset Management, Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
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Citation 1

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Scenario generation, downside risk, investment choice