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FACULTY & RESEARCH ›› Faculty Profiles ›› Faculty list A to Z ›› Basu, Sankarshan


Basu, Sankarshan
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Sankarshan Basu
Finance & Control


Chairperson, Career Development Services

PhD (Statistics), London School of Economics and Political Science, UK, 1999
MSc (Statistics), Indian Institute of Technology, Kanpur, India, 1995
BSc Honours (Statistics), Presidency College, Calcutta, India, 1993

Phone:  +91-80-26993078
Address:  NF-203

Research Areas:
Financial Applications of Stochastic Processes and Stochastic Probability
Asset pricing (using the Black-Scholes formula)
Interest Rate Modelling
Bond Pricing and Option Pricing, especially in the presence of stochastic volatility
Quantitative problems in insurance


Recent Consulting:
HDFC Bank: Derivatives Operations and Pricing
State Bank of India: Treasury and Risk Management
Clearing Corporation of Indian Limited: Risk Management and efficacy of the processes
Ernst & Young: Choice of an appropriate Risk and Transfer Pricing methodology
Bombay Stock Exchange: Determination of the basis of the Mid Cap index
BEML Limited: Techno - Economic Feasibility study on the revival of MAMC Limited Karnataka Government Co-operation Department: Revision of Lease granted to Kothari Chemicals and
Sugars Limited for the Pandavpura Sugar Mills


Current Projects:
Choosing of an appropriate conditioning factor in pricing of bonds and options on assets with stochastic volatility
Pricing of bonds and options on a portfolio of a number of assets - the multi-driver situation
Pricing of options when the interest rate as well as the volatility is stochastic in nature, where the interest rate can be modelled as a log - normal distribution or under the Bruce - Gatarek - Musiela model
Extending the idea of pricing of bonds and options on assets with stochastic volatility in a non-Gaussian framework - a concept similar to the one used by Cox-Ingersoll-Ross on assets with no stochastic volatility
Obtaining the bounds to the prices of the bonds using the approximation technique used in my thesis when the interest rate can be modelled in the Bruce - Gatarek - Musiela set up
Applications of optimization techniques to insurance problems


Academic Positions:
IIM Bangalore: 2003-present
Visiting Faculty, IIM Bangalore, India, February 2002- August 2003
Visiting Professor, School of Business, Economics and Law, University of Gothenburg, Sweden, September - October 2006
Visiting Professor, School of Business, Accounting and Public Administration, University of Twente, The Netherlands, March- May 2004
Manager, Derivative Research Group, ICICI Treasury, ICICI Limited, India, January 2001- January 2002
Lecturer, Department of Actuarial Mathematics and Statistics, Heriot Watt University, Edinburgh, UK, April- December 2000
Lecturer, Department of Statistics, London School of Economics and Political Science, London, UK, September 1999- April 2000


Other Assignments:
Officer Trainee, TELCO, India, July 1995- May 1996


Other Professional Appointments:
Member of the Editorial Board of Management Dynamics
Guest Editor for Journal of Insurance and Risk Management
Examiner for the Institute of Actuaries, U.K. from 2003 Examiner for the Actuarial Society of India from 2003
Reviewer for articles to be published in Management Review - The IIMB Journal since April 2003
Reviewer for articles to be published in Management and Accounting Research - The Institute of Chartered Accountants if India Journal since April 2003
Examiner for the University of London External Degree program, 1998 to 2000
Member of the Dean's Research Committee at the London School of Economics and Political Science, London, U.K. for the year 1998 - 1999


Significant Publications:


1. G. Dutta, S. Basu and J. John (2008); "Development of Utility Function for Life Insurance Buyers in the Indian Market"; To appear in the Journal of The OR Society
2. S. Basu and A. Dassios (2008); "Bonds and option Valuation Using a Conditioning Factor Approach"; Management Dynamics, 7/2, 25 - 69.
3. A. Garg, A. Tiwari, G. Dutta and S. Basu (2007); "A Stochastic Linear Programming Model for Asset Liability Management: A Case of an Indian insurance Company"; Journal of Insurance & Risk Management, 6/11, 59 - 72.
4. D. J. W. Hatton, N. N. Joshi, F. Li, R. Vaidyanathan, S. Jyothilakshmi, S. Das and S. Basu (2006); "Facing the Future: Indian Pension Systems"; Tata McGraw Hill.
5. S. Basu and G. Dutta (2006); "A Survey of the Non-Optimization techniques used in an integrated steel plant"; Management Dynamics, 6/1, 33 - 68.


Non - Refereed:
1. S. Basu (2009); "Credit Crisis: Has it led to the reduction in the importance of Market Risk?"; Treasury Management, February 2009, 37 - 38.
2. S. Basu (2009); "Subprime crisis and Basle II"; ICFAI Reader, January 2009, 14 - 16.
3. S. Basu (2008); "Corporate Risk Management: Emerging Trends"; Treasury Management, August 2008, 22 - 26.
4. S. Basu (2007); "Wealth Management Industry in India"; Treasury Management, October 2007, 31 - 32.
5. S. Basu (2007); "Automobile Insurance Industry in India: Issues and Challenges"; Insurance Chronicle, January 2007, 43 - 46.