Program Manager, MS Analytical Finance

Education

Indian Statistical Institute, Calcutta, B.Stat (Hons.)
Bowling Green State University, M.S. (Applied Statistics & Operations Research)
University of Michigan, Ph.D. (Business Administration)

Research Interests

Risk management
Empirical Asset Pricing Theories
Quantitative Analysis
Enterprise Risk Management

Prasad Nanisetty joined the faculty at Lehigh in August 2016. Previously he was the Executive Director, Risk Management at Indus Capital from 2013-2015. For the eight years prior, Prasad was the Head of Risk Management at Artio Global Management. His professional experience also includes four years as the Senior Vice President for Quantitative Analysis and Risk Management at Jennison Associates; three years as a Managing Director for Quantitative Analysis and Risk Management at Prudential Investments; three years as Director of Risk Management for Nomura Securities International; and, a year as a Senior Associate at Smith Breeden Associates Inc. For the previous nine years, Prasad was an Assistant Professor of Finance at Indiana University in Bloomington.

Prasad received his Doctorate in Business Administration from the University of Michigan as well as a Master of Science in Statistics and Operations Research from Bowling Green University and a Bachelor of Statistics in Mathematics and Statistics from Indian Statistical Institute.

Publications

  • “Time-Varying Risk and Return in the Bond Market: A Test of a New Equilibrium Pricing Model." (With Cynthia Campbell and Hossein B. Kazemi), The Review of Financial Studies, Fall 1999, 630-642.
  • “Return Generating of Long-Term Bonds and Measurement of Risk: Theory and Empirical Tests." (With Nikolas Milonas and Hossein B. Kazemi), The Review of Quantitative Finance and Accounting, Vol. 5, (1995), 231-241.
  • “Evaluating Stock Price Behavior After Events:  An Application of the Self-Exciting Threshold Autoregressive Model.”  (With Susan Crain and Rakesh Bharati), Quarterly Journal of Finance and Accounting, Spring  2009, Vol. 48, No 2 23-43.
  • "Dynamic Gap Transformations: Are Banks Asset-Transformers or Brokers?  Or Both?" (With Jacky So and Rakesh Bharati),  The Quarterly Review of Economics and Finance, 2006, v46, i1, pp. 36-52.
  • “Are Dividends Smoothed Signals of Earnings Asymmetry?”  (With Manoj Gupta and Rakesh Bharati), International Journal of Business, 1998, v3, n2, pp. 1-18.
  • “The Effect of Time-Varying Covariance’s on Asset Risk Premia: A Test of Intertemporal CAPM,” (With Rakesh Bharati and Manoj Gupta), Review of Quantitative Finance and Accounting, September 1996, pp. 205-220.

Conference Presentations

  • RiXtrema Tail Risk Conference ’12: Panel discussion on Extreme and Tail Risks.
  • Risk’98:  “Comparing the Similarities and Differences in the Requirements for Market Risk vs. Credit Risk Analysis.”  Risk Magazine Conference, Washington D.C., June 3-4, 1998.  “Key characteristics of Market Risk and Credit Risk,” “Value at Risk concept and measurement,” “Limitations of VaR for credit risk measurement,” “Heuristic approaches such as concentration factors and robust estimators,” and “Maximum expected loss approach.”
  • RIMAC ’97:  “Overcoming the Methodological Obstacles to effectively Stress Test the Correlation Matrix of your Portfolio.”  Scottsdale, Arizona, February 13-14, 1997.
  • Resident Scholar, OCC, December 16-17, 1996. “Alternative methods for calculating VaR and evaluating model risk.”
  • Risk Magazine Conference:  “Identifying, measuring and managing market risk.”  New York, July 10-11, 1996.  Conference chairperson.
  • Risk’96:  “Applying Monte Carlo Analysis to Value at Risk Models and other simulation techniques.”
  • Risk Magazine Conference, Boston, Massachusetts, May 16-17, 1996.  “Using Monte Carlo techniques to expand VaR,” “Using Monte Carlo to address correlation slippage,” and “Measuring cross gamma exposure in derivative portfolios.”
  • Risk Magazine Conference:  “Determining a measure of risk and return in the evaluation of market risk.”
  • Risk Magazine Conference, London, March 20-21, 1996.  “Relating market risk to performance measurements”,“Optimal capital allocation based on risk and return,” and “Basle back testing methodology.”
  • Risk’95:  “Improving the effectiveness of simulation techniques in measuring and managing your risks.”
  • Risk Magazine Conference, Newport, Rhode Island, June 13-14, 1995.  “Overview of Value at Risk (VaR) and calculation methods using Parametric (RiskMetrics), Historical simulation, and Monte Carlo simulation methods” and “Enhancements to Simulation methods, and 3.Generation of stress scenarios.”