Prof. Piyush Pandey

Assistant Professor
Address: 103, Shailesh J. Mehta School of Management, I.I.T.Bombay, Powai, Mumbai
Phone: 91-22-25767776
Email: piyush[at]som.iitb.ac.in, piyush.pandey[at]iitb.ac.in		 Dr. Piyush Pandey

 Educational Qualifications

  • Ph.D. Finance, Department of Financial Studies, Delhi University (August 2013- April 2018)
  • Masters in Finance & Control(MFC), Department of Financial Studies, Delhi University, Delhi (2009-11)
  • B.Tech Computer Engineering, IP University, Delhi (2004-08)

Research/ Teaching Interests

  • Financial Derivatives, Investment Management, Market Microstructure, Banking

 Experience

FORE School of Management, Delhi, Assistant Professor, Finance & Accounting (August 2017- March 2019)

Teaching

  • Course Instructor for Elective Subject (Term 4) “Risk Management & Financial Derivatives” to PGP 2nd Year students
  • Course Instructor for Elective Subject “Investment Banking” to PGP 2nd year Term 5 students
  • Course Instructor for Core Subject “Corporate Finance” to PGP 1st year term 3 students

Administration

  • Area Chair, Finance & Accounting, FORE School of Management, New Delhi (October 2018- December 2018)
  • Prof. in Charge, Special Interests Group- Investments & Portfolio, FORE School of Management (September 2018- March 2019)
  • Member, Programme Structure and Design Committee, PGDM- Financial Management, FORE School of Management (October 2018- December 2018)
  • Member, Publications; Research and Seminar Committee, FORE School of Management, (2018- December 2018)

Management Development Programme

  • Programme Director for a 2 day Open MDP on Pricing and Application of Financial Derivatives (February 2019)

Other Teaching Assignments

  • Visiting Faculty for “Mutual Funds and Alternate Investments” to MFC (MBA-FM) 2nd year students of Dept. of Financial Studies, Delhi University (January 2017-April 2017)
  • Visiting Faculty for “Econometric Modelling” to French Exchange Students of Indian School of Business and Finance, New Delhi (January-March 2016/17)
  • Teaching Assistant to Prof Sanjay Sehgal for “Financial Econometrics and Equity Research”at MFC (MBA-FM) 2nd year students of Dept. of Financial Studies, Delhi University (January 2015/16/17-April 2015/16/17)

Professional

UBS India Service Centre (now acquired by Cognizant Technology Solutions Private Limited), Hyderabad, India, Research Associate (June 2011- August 2013)

  • Worked for UBS Fixed Income Structuring Desk in structuring trade ideas (asset and liability side structuring) and creating innovative credit related products (Credit Linked Notes, Bond Repacks, Credit Option Warrants, Total Return Swaps etc.) for our UBS clients
  • Worked as an Equity Research Associate for UBS Indian Banking Sector Team in covering Indian banking stocks under purview of UBS and coming out with periodic research reports

Chamber of Commerce and Industry, Pau, France, Financial Consulting and Research (June-July 2010)

  • Feasibility Study of the equine sector and quantifying its socio-economic impact for the region of Pau, Southwest France

 Research Papers in Peer Reviewed and Edited Journals

 Published/ Accepted for Publication

  • “How Smart is a Momentum Strategy? An Empirical Study of Indian Equities” with Apurv Nigam accepted for publication in Algorithmic Finance (2022). ABDC-B
  • “Performance of Volatility Asset as Hedge for investor’s portfolio against Stress Events: COVID19 and 2008 Financial Crises” with Chinnaraja C accepted for publication in IIMB Management Review (2022). ABDC-B
  • “Investor Sentiment and its Role in Asset Pricing: An Empirical Study for India” (2019) with Prof. Sanjay Sehgal in IIMB Management Review,31(2), pp 127-144.  ABDC- B
  • “Information Linkages amongst BRICS countries: Empirical Evidence from Implied Volatility Indices” (2019) with Gagan Sharma and Parthajit Kayal in Journal of Emerging Market Finance, 18(3), pp 263-289.  ABDC- B
  • “Dynamics of Banking Sector Integration in South Asia: An Empirical Study” (2019) with Prof. Sanjay Sehgal and Dr. Wasim Ahmad in Indian Growth & Development Review, 12(3), pp 315-332.   ABDC- B
  • “Dynamic Currency Linkages and its Determinants: An Empirical Study for East Asian Economic Community Region” (2018) with Prof. Sanjay Sehgal in Emerging Markets Finance and Trade, Issue 7, Vol. 54, pp 1538-1556.  ABDC- B
  • “Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region” (2018) with Prof. Sanjay Sehgal and Prof. Florent Diesting in Journal of Quantitative Economics, Issue 2, Vol. 16, pp 389-425. ABDC- B
  • “Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study” (2018) with Prof. Sanjay Sehgal and Prof. Florent Diesting in Cogent Economics & Finance,6(1). ABDC- B
  • “Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies” (2018) with Prof. Sanjay Sehgal and Sakshi Saini in Theoretical Economics Letters, 8, pp 2416- 2443.  
  • “Examining Dynamic Currency Linkages amongst South Asian Economies: An Empirical Study” (2017) with Prof. Sanjay Sehgal and Prof. Florent Diesting in Research in International Business and Finance, 42, 173-190. ABDC- B
  • “Behaviour and Determinants of Implied Volatility in Indian Market” (2016), with Narain and Narander in Journal of Advances in Management Research, Vol 13 (3), pp 271-291.  Awarded Highly Commended paper in the 2017 Emerald Literati Network Awards for Excellence
  • “Information Transmission between NSE50 Spot and Derivative Platforms in India: An Empirical Study” (2015), with Prof. Sanjay Sehgal and Prof. Florent Diesting in Journal of Quantitative Economics, Vol 13 (2), pp215-235. ABDC- B
  • “Real Estate Investment Selection and Empirical Analysis of Property Prices: Study of Select Residential Projects for Gurgaon, India” (2015), with Prof. Sanjay Sehgal, Mridul Upreti and Aakriti Bhatia in International Real Estate Review, Vol. 18 No. 4, pp. 523-566.  

 Books Published/ In Press

  • “Economic and Financial Integration in South Asia: A Contemporary Perspective” (2020). Research book alongwith co-authors Prof. Sanjay Sehgal, Dr. Wasim Ahmad & Ms Sakshi Saini Published in Routledge, Taylor & Francis Group (ISBN 9780815380139)

Review Activity in Peer Refereed Journals

  • Reviewer for Economic Systems, Borsa Istanbul Review, Journal of Indian Business Research, Journal of Advances in Management Research, Journal of Emerging Markets Finance, Asia Pacific Financial Markets, IIMB Management Review,

 Paper Presentation in Conferences

  • “Behaviour and Determinants of Implied Volatility in Indian Market” with Narain and Narander, Paper presented at: 11th Annual Conference of Asia Pacific Association of Derivatives, Busan, South Korea (2015); 9th Yale-Great Lakes International Research Conference, Great Lakes Institute of Management, Chennai, India (2014); FORE International Finance Conference, FORE School of Management, New Delhi, India (2014)
  • “Information Transmission between NSE50 Spot and Derivative Platforms in India: An Empirical Study” with Prof. Sanjay Sehgal and Prof. Florent Diesting, Paper presented at: 11th Annual Conference of Asia Pacific Association of Derivatives, Busan, South Korea (2015)
  • “Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region” with Prof. Sanjay Sehgal and Prof. Florent Diesting, Paper presented at: 22nd International Euro-Asia Research Conference, Parma, Italy (2017); IGIDR Ph.D. Colloquium, Mumbai, India (2016); 14th INFINITI Conference on International Finance, Dublin, Ireland (2016)
  • “Dynamic Currency Linkages and its Determinants: An Empirical Study for East Asian Economic Community Region” with Prof. Sanjay Sehgal and Prof. Florent Diesting, Paper presented at: 2nd Statistical Methods for Finance, Chennai Mathematical Institute, India (2016); 8th Conference of Asia Economic Community Forum (AECF) 2016, Incheon, South Korea (2016)
  • “Real Estate Investment Selection and Empirical Analysis of Property Prices: Study of Select Residential Projects for Gurgaon, India” with Prof. Sanjay Sehgal, Mridul Upreti and Aakriti Bhatia, Paper presented at: 4th IIMA International Conference on Advanced Data Analysis, Business Analytics and Intelligence, IIM Ahmedabad, India (2015)
  • “Investor Sentiment and its Role in Asset Pricing: An Empirical Study for India” with Prof. Sanjay Sehgal, Paper presented at: 10th Doctoral Thesis Conference (DTC), ICFAI Hyderabad, India (2017); 52nd Annual Conference of The Indian Econometric Society, IIM Kozhikode, India (2016); 11th Annual Conference on Economic Growth & Development, ISI Delhi, India (2015); Third Pan-IIM World Management Conference, IIM Indore, India (2015)
  • “Examining Dynamic Currency Linkages amongst South Asian Economies: An Empirical Study” with Prof. Sanjay Sehgal and Prof. Florent Diesting, Paper presented at: 24th Multinational Finance Society (MFS) Conference, Bucharest, Romania (2017); Fourth Pan-IIM World Management Conference, IIM Ahmedabad, India (2016)
  • “Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study” with Prof. Sanjay Sehgal and Prof. Florent Diesting, Paper presented at: Third International Conference on South Asian Economic Development, South Asian University, New Delhi, India (2017)
  • “Time-Varying Government Bond Market Integration in Asia:  Dependency and Connectedness” with Prof. Ali M Kutan and Prof. Sanjay Sehgal, Paper presented at: Fifth Pan-IIM World Management Conference, IIM Lucknow, India (2017)
  • “Role of China in South Asian Financial Market Integration: An Empirical Study” with Prof. Sanjay Sehgal and Ms Sakshi Saini, Paper presented at: Fifth Pan-IIM World Management Conference, IIM Lucknow, India (2017); 7th India Finance Conference, IIM Bangalore, India (2017)
  • “Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies” with Prof. Sanjay Sehgal and Sakshi Saini, Paper presented at: Fifth Pan-IIM World Management Conference, IIM Lucknow, India (2017)
  • “Dynamics of Banking Sector Integration in South Asia: An Empirical Study” (2018) with Prof. Sanjay Sehgal and Dr. Wasim Ahmad, Paper presented at: 54th Annual Conference of The Indian Econometric Society, Sri Mata Vaishnodevi University, Katra, India (2018), International Conference on Sustainable Management, IIM Kashipur (2018)
  • “Information Linkages amongst BRICS countries: Empirical Evidence from Implied Volatility Indices” (2018) with Gagan Sharma and Parthajit Kayal, Paper presented at: 6th Empirical Issues in Trade and Finance Conference, IIFT New Delhi (2018)

 Participation in Funded Research Project and Corporate Consultancy

  • Ministry of Corporate Affairs (Nov 2020-May 2021): Worked as Principal Investigator alongwith Prof. Vinish Kathuria (Co-PI) & Prof. Rajendra M Sonar (Co-PI). Project on “Decision support system to predict bankruptcy for Indian (M)SMEs using Statistical and Artificial Intelligent Techniques”
  • ICSSR (May 2015-October 2017): Working as a Research Assistant (SRF) on ICSSR Sponsored Research Project on “Financial Integration in the SAARC Region: Empirical Analysis and Policy Issues”. Principal Investigators: Prof. Sanjay Sehgal, Department of Financial Studies, Delhi University and Dr. Wasim Ahmad, Asst. Professor, Department of Humanities and Social Sciences, IIT Kanpur
  • Worked for a Wealth Management firm (September 2016- December 2016): Developed optimal characteristic style based investment strategy (based on size, value, momentum, contrarian, liquidity, profitability) to generate alpha returns on CNX200 stock portfolio
  • JLL (May 2015- July 2015): Worked as Research Assistant on Real Estate Finance. Topic- “Indian Residential Real Estate Market: Investment Selection and Property Price Behaviour”
  • JLL (December 2013- April 2014): Worked as Research Assistant on Real Estate Finance. Topic- “Real Estate Investment Selection and Empirical Analysis of Property Prices: Study of Select Residential Projects for Gurgaon”

Thesis Supervision

  • Supervised four M.Mgt. dissertations (2018-20 batch) in the area of Investment Management (Momentum Investing: An Empirical Study for Indian Equity Markets,Evaluating Momentum and Contrarian strategy in the Commodity Futures, Pairs Trading in Currencies: An Empirical Study, Value Investing in Indian Equity Markets: An Empirical Study)

Trainings and Workshops

  • Participated in 2-day Case Method Workshop organized by IIM Rohtak (December 2017)
  • Delivered a special lecture on “Time Series Econometrics” to MBA 2nd year students of Fortune Institute of International Business, New Delhi (January 2016)
  • Conducted Analytics Workshop (covering basics of Econometrics and hands on training on Eviews 8, SPSS besides Programming on Excel VBA) for French Exchange Students of Indian School of Business and Finance, New Delhi (January-March 2015)
  • Delivered a special lecture on “Derivatives and Risk Management” to Ph.D. 1st year students of Department of Financial Studies, University of Delhi (November 2014)
  • Conducted workshop on “Introduction to various IT tools for Research” (EXCEL, SPSS, Eviews 8, STATA) conducted for team of undergraduate students and faculty members of Sri Venkateshwara College, University of Delhi (October 2014)
  • Conducted a workshop on “Excel VBA Macros” alongwith Devesh Shankar, Research Scholar, FMS, Delhi organized for MFC students of Department of Financial Studies, University of Delhi (February 2014)

 Academic Affiliation and Membership

  • Life Member, The Indian Econometrics Society (TIES), India

Achievements and Certifications

  • Travel Grant, ICSSR (2016)
  • Travel Grant, Dean of Research, University of Delhi (2015)
  • Awarded the Best New employee award “Phoenix” for contribution to the research team of UBS (2012)
  • Qualified UGC-NET exam and got the Junior Research Fellowship (JRF) in Management to pursue Research by Government of India (2012)
  • Passed Certificate Course in Trade Finance from Indian Institute of Banking & Finance( IIBF) with distinction(2012)

 Computing Skills

  • Information Systems: Bloomberg, Reuters, CMIE Prowess, Capitaline, ACE Equity
  • Statistical Packages: Eviews, SPSS, Stata, R, MATLAB, RATS, GRETL
  • Programming: C++, Java, VBA, UBS Proprietary Pricing Tools