Sanjay K. Nawalkha

Associate Professor of Finance

Telephone: 413-687-2561
Email: nawalkha@som.umass.edu
Office: SOM 310B

Professional Web Sites:
Books and Software
Downloadable Articles

Currently Teaching: FINOPMGT 304

Ph.D., University of Massachusetts
M.B.A., University of Massachusetts
B.Sc. (Math), University of Bombay

Selected Publications:

Credit Risk Modeling: The Fixed Income Valuation Course, (forthcoming, 2008).

Dynamic Term Structure Modeling: The Fixed Income Valuation Course, (2007), John Wiley and Sons.

Interest Rate Risk Modeling: The Fixed Income Valuation Course, (2005), John Wiley and Sons.

Interest Rate Risk Measurement and Management, (1999), Institutional Investor, Euromoney.

Closed-Form Duration Measures and Strategy Applications, (1990), Research Foundation of the Chartered Financial Analysts (CFA).

Journal Articles:

Selected publications are in the Journal of Financial Economics, Financial Analysts Journal, Journal of Banking and Finance, Journal of Fixed Income and Journal of Portfolio Management. Working paper versions of some of the published articles can be downloaded from the SSRN web site.

Consulting Activities:

Has consulted with national and international banks on interest rate risk management and related fixed income topics.

Fixed Income Trainer:

Available for in-house and online fixed income seminars on the topics of interest rate risk, interest rate derivatives valuation, and credit risk modeling.