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Nikunj Kapadia
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Education:Ph.D. in Finance, Stern School of Business, New York University, 1995 |
Research/Teaching Interests:Equity derivatives |
Publications/Presentations:
"Default Correlation," 2008, in Encyclopedia of Quantitative Risk Assessment and Analysis, Melnick, E., and Everitt, B. (eds). John Wiley and Sons Ltd, Chichestor, UK, pp 470-476.
Journal of Investment Management Conference (October 2008). "Limited Arbitrage between Equity and Credit Markets."
IDC Herzliya (May 2008). "Limited Arbitrage between Equity and Credit Markets."
"The Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index," (with Edward Szado), 2007, Journal of Alternative Investment, 8 (1), pp. 39-56.
"Common Failings: How corporate defaults are correlated," (with Sanjiv Das, Darrell Duffie and Leandro Saita), 2007, Journal of Finance 62(1), 93-118. (Best Paper prize at the Western Finance Association). Reprinted in: The Foundations of Credit Risk Analysis, Eds. Willi Semler and Lucas Bernard, MA: Edward Elgar Publishing, 2007.
Standard and Poor's Corporation (February 2007). "Correlated Default Risk."
"Correlated Default Risk," (with Sanjiv Das, Laurence Freed, and Gary Geng), 2006, Journal of Fixed Income 16(2), 7-32 (Lead article).
China International Conference in Xian (July 2006). "Equilibrium Exercise of European Warrants".
Concentration Risk in Credit Portfolios (November 2005), Joint Workshop of the Deutsche Bundesbank, the Basel Committee on Banking Supervision and the Journal of Credit Risk. "Common Failings: How Corporate Defaults are Correlated."
Wilfred Laurier University (November 2005). "Common Failings: How Corporate Defaults are Correlated."
Annual Meeting of the Western Finance Association, Portland (2005). "Common Failings: How Corporate Defaults are Correlated,"
Moody's and London Business School Credit Risk Conference (2005). "Common Failings: How Corporate Defaults are Correlated."
Federal Reserve Board of New York (2005).
University of Virginia (2004). "Strategic Exercise of European Warrants."
Federal Deposit Insurance Corporation, Washington DC (2004). "Correlated Default Risk."
Office of the Comptroller of the Currency, Washington D.C. (2004). "Correlated Default Risk."
Annual Meeting of the European Finance Association Conference, Glasgow (2003). "Correlated Default Risk."
Annual Meeting of the American Finance Association Conference, Washington, D.C. (2003). "Correlated Default Risk."
"Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights," (with Gurdip Bakshi), 2003, Journal of Derivatives, 11(1), 45-54.
"Delta-Hedged Gains and the Negative Market Volatility Risk Premium," (with Gurdip Bakshi), 2003, Review of Financial Studies, Volume 16 (2), 527-566.
"Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," (with Gurdip Bakshi and Dilip Madan), 2003, Review of Financial Studies, Volume 16 (1), 101-143.
Academic and Professional Activities:
National Science Foundation Review Panel (2005).
European Finance Association (2003 to present)
Financial Management Association (2001, 2007)
Reviewer: Journal of Finance, Journal of Business, Journal of Banking and Finance, Management Science, Quantitative Finance, Review of Financial Studies
Ad Hoc Referee: Annals of Operations Research, Financial Analyst Journal, Financial Review, Journal of Alternative Investments, Journal of Banking and Finance, Journal of Business, Journal of Derivatives, Journal of Finance, Journal of Financial Intermediation, Journal of Financial and Quantitative Analysis, Journal of Financial Services Research, Journal of Hospitality Financial Management, Management Science, Open Business Journal, Quantitative Finance, Review of Derivatives Research, Review of Financial Studies.
Editorial Board: Financial Analyst Journal (2002), Open Business Journal (2008 to date).
