Research Areas:
Quantitative Finance; Extreme events; Forecasting volatility; Risk management; Mathematical finance

Recent Consulting:
Securities of Exchange Board of India (SEBI); Uttar Pradesh State Road Transport Corporation (UPSRTC)
JK Industries Ltd.; Uttar Pradesh State Electricity Board (UPSEB)

Current Projects:
Does macroeconomic volatility affect stock market volatility?; Comparison of Conditional VaR Estimation Methods; Pricing Fixed Income Securities using Copulas; Portfolio Risk using Copulas; Copula Based Common Factors in Financial Time Series

Academic Positions:
IIM Bangalore: 2004-present
Previous: IIM Lucknow: 1986-2004; Class Teacher, London School of Economics, London, UK, 1982-1985; Research Fellow, Department of Statistics, Calcutta University, Calcutta, India, 1980-1981

Visiting Faculty, IIM Kolkata; Visiting Faculty, IIM Kozhikode; Visiting Faculty, IIM Indore; Resource Faculty, for UGC sponsored Refresher Programmes for UG College Teachers, Department of Statistics, Lucknow University; Visiting Faculty, Institute of Management Technology, Ghaziabad; Visiting Faculty, Jaipuria Institute of Management, Lucknow; Visiting Faculty, Lucknow University, Lucknow; Visiting Faculty, Banking Institute of Rural Development, Lucknow

Other Professional Appointments:
Member of Academic Councils, Institute of Management Technology, Ghaziabad
Member of Academic Councils, Jaipuria Institute of Management, Lucknow
Member, Institute for Operations Research and Management Sciences, USA
Member, Indian Society for Fuzzy Mathematics and Information Processing, India
Member - SEBI (Securities and Exchange Board of India) Advisory Committee on Venture Capitals, 2003
Member, Operational Research Society of India
Member, Computer Society of India

Awards:
Best Presentation Award, 3rd International IEEE Conference on Industrial Informatics, INDIN 2005, Perth, Western Australia, 10-12 August 2005
Best Conference Paper, 3rd Financial Markets Asia-Pacific Conference, Sydney, Australia, 26-27 May 2005
Young Statistician's award, 1987, by the International Statistical Institute, the Netherlands

Selected Publications:

1. Malay Bhattacharyya and Siddarth Madhav R, 2012, A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns, Journal of Mathematical Finance Vol.2 No.1, pp 13-30, DOI:  10.4236/jmf.2012.21002.

2. Bhattacharyya, M, Misra, N and Kodase, B, 'MaxVaR for Non-normal and Heteroscedastic Returns', (Accepted), Quantitative Finance, Vol 9, No. 8, 925-935.

3. Chaudhuri, A and Bhattacharyya, M, 2009, 'A Combined QFD and Integer Programming Framework to Determine Attribute levels for Conjoint Study', International Journal of Production Research, Vol. 47, No. 23, 1, 6633-6649.

4. Bhattacharyya, M, Dileep, KM and Kumar, R, (2009) 'Optimal Sampling Frequency for Volatility Forecast Models for the Indian Stock Markets', Journal of Forecasting, Vol. 28(1), 38-54.

5. Bhattacharyya, M, Chaudhary, A and Yadav, G, (2008) 'Conditional VaR Estimation using Pearson's Type IV Distribution', European Journal of Operational Research, Vol. 192(2), 386-397.

6. Bhattacharyya, M and Ritolia, G, (2008) 'Conditional VaR using EVT - Towards a Planned Margin Scheme', International Review of Financial Analysis, Vol. 17, 382-395.

7. Banerjee, A and Bhattacharyya, M, (2005) 'Price Relationship between Index Futures and Index Spot: Evidence from India', Indian Accounting Review, Vol. 9, No. 1, 1-17.

8. Bhattacharyya, M and Banerjee, A, (2004) 'Integration of Global Capital Markets: an Empirical Exploration', International Journal of Theoretical and Applied Finance, Vol.7, No. 4, 385-405.

9. Bhattacharyya, M, (2002) 'Fuzzy conjoint analysis', in Advances in Soft Computing series: Soft Methods in Probability, Statistics, and data analysis, Eds. Przemyslaw Grzegorzewski, Olgierd Hryniewicz, and Maria A. Gil, (Physica-Verlag Hiedelberg), 255-265.

10. Bhattacharyya, M, (1998) 'Fuzzy Markovian decision process', International Journal of Fuzzy sets and systems, 99, 273-282.

11. Bhattacharyya, M, (1998) 'A note on "FUZMAR: An approach to aggregating market research data on fuzzy reasoning" by R.R. Yager et al.', International Journal of Fuzzy sets and systems, 93, 381-384.

12. Bhattacharyya, M, (1987) 'Superiority of Randomized Decisions in Chance Constrained Programming (CCP)', Invited Paper No. 2, Bulletin of the International Statistical Institute, 46^th Session, Tokyo, Vol. LII-2, 391-406. (Adjudged as one of the best three papers from young statisticians by the International Statistical Institute, Netherlands)

13. Bhattacharyya, M, (1984) 'Joint Randomized Decisions in Chance Constrained programming', Journal of Operational Research Society, Vol. 35, No. 4, 355-357.