•  saswat.patra@spjimr.org

Saswat Patra

Assistant Professor, Finance & Economics

Saswat Patra is a faculty in the Finance area at SPJIMR. He has completed FPM from the Indian Institute of Management, Bangalore and holds a master’s degree in Business Administration from the Institute of Management Technology, Ghaziabad. His academic career spans five years, in which he has taught courses in the area of Finance, including Corporate Finance, Financial Risk Management, and Financial Modelling.

He has extended his research contributions in conference presentations held in India and the Middle East that cover topics such as Financial Derivatives, Volatility Modelling, Risk Management, and Financial Time Series. His articles have been published in leading finance journals and periodicals.

Read More

EDUCATION

Indian Institute of Management, Bangalore

FPM, 2017
Major: Decision Sciences
Minor: Finance

Institute of Management Technology, Ghaziabad

MBA, 2012
Major: Finance
Minor: Operations

Institute of Technical Education and Research

BTech, 2010
Major: Computer Science

  • RESEARCH INTERESTS

    Financial Derivatives

    Volatility Modelling

    Risk Management

    Financial Time Series

  • SELECTED PUBLICATIONS

    Patra, S., Gupta, N. (2023). Risk in the cryptocurrency markets: The role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall, The European Journal of Finance, Taylor & Francis, 10.1080/1351847X.2023.2241516

    Patra, S. (2022). Reexamining the Volume-Volatility Nexus for Crude Oil Markets Under Structural Breaks: An Implication for Forecasting. SSRN http://dx.doi.org/10.2139/ssrn.4293773

    Patra, S. (2021). Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. Energy Economics, 101, 105452. Elsevier ScienceDirect. https://doi.org/10.1016/j.eneco.2021.105452

    Patra, S., and Bhattacharyya, M. (2020). How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure. Risks, 8(3), 76. https://doi.org/10.3390/risks8030076

    Patra, S., and Panda, P. (2019). Spill overs and financial integration in emerging markets: Analysis of BRICS economies within a VAR-BEKK framework. International Journal of Finance and Economics, 26, 493–514. https://doi.org/10.1002/ijfe.1801

    Patra, S. and Bhattacharyya, M. (2019). Does volume really matter? A risk management perspective using cross country evidence. International Journal of Finance and Economics, 26(1), 118 – 135. https://doi.org/10.1002/ijfe.1780

    Link to Google Scholar

  • CONFERENCES

    Patra, S. (Author & Presenter), FinTech and AI in Finance (FinTAF) 2023 conference, “Reexamining the Volume-Volatility nexus and its impact on risk in the cryptocurrency markets”, Sheffield, UK (January 12, 2023)

    Patra, S. (Author & Presenter), 20th AIMS International Conference on Management, “Re-examining the volume-volatility nexus and its impact on risk in the Oil Markets”, IIM-Kozhikode (December 28, 2022).

    Patra, S. (Author & Presenter), 20th AIMS International Conference on Management, “Re-examining the volume-volatility nexus and its impact on risk in the Cryptocurrency Markets”, IIM-Kozhikode (December 28, 2022).

    Manuj, H.K., Patra, S., World Finance Conference 2022, “Do mutual funds beat the markets: A comprehensive study of Indian equity mutual funds in bull and bear phases”, School of Management and Economics, University of Turin (August 1, 2022).

    Gupta, N., Patra, S., World Finance Conference 2022, “Risk in the cryptocurrency markets: The role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall”, School of Management and Economics, University of Turin (August 1, 2022)

    Patra, S. (Author & Presenter), ICBRI Conference 2022, “Re-examining the volume-volatility nexus and its impact on risk in the Oil Markets”, MDI, Murshidabad (March 9, 2022).

    Patra, S. (Author & Presenter), ICBRI Conference 2022, “Revisiting The Risk In Energy Futures: The effect of fat-tailed distributions and structural breaks”, MDI, Murshidabad (January 29, 2022).

    Patra, S. (Author & Presenter), 15th ISDSI Global Conference 2021, “Revisiting The Risk In Energy Futures: The effect of fat-tailed distributions and structural breaks”, IIM, Nagpur. (December 30, 2021).

    Patra, S. (Author & Presenter), 15th ISDSI Global Conference 2021, “Re-examining the volume-volatility nexus and its impact on risk in the Oil Markets”, IIM, Nagpur. (December 30, 2021).

    Patra, S. (Author & Presenter), 3rd ICDE & 14th ISDSI Annual Conference 2020, “Reestimating the Value at Risk and Expected Shortfall for Energy Commodities under Structural Breaks: The Role of Fat-tailed distributions,” IIM, Raipur. (December 28, 2020).

    Patra, S. (Author & Presenter), 3rd ICDE & 14th ISDSI Annual Conference 2020, “Re-examining the Volume-Volatility Nexus in Oil Markets with Structural Breaks: A Risk Management Perspective,” IIM, Raipur. (December 28, 2020).

    Patra, S. (Author & Presenter), International Conference on Advances in Business and Law (ICABL 2020), “Examining the Volume-Volatility Relationship for Crude Oil Markets: An Implication for Forecasting,” University of Dubai, UAE. (November 22, 2020).

    Patra, S. (Author & Presenter), International Conference on Advances in Business and Law (ICABL 2020), “Revisiting Value-at-Risk and Expected Shortfall in Oil Markets under Structural Breaks: The Role of Fat-Tailed Distributions,” University of Dubai, UAE. (November 22, 2020).

    Patra, S. (Author & Presenter), International Risk management Conference (IRMC 2020), “Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions,” Global Virtual Conference. (October 10, 2020)

    Patra, S. (Author & Presenter), Srivastava, S., Bandi, J., ISDSI, “Placement Success versus Admission Criteria in Executive MBA: A Conundrum for B School Management (Presenter – Dr. Saswat Patra),” SPJIMR, Mumbai. (December 30, 2018).

    Patra, S. (Author & Presenter), India Finance Conference (IFC) 2018, “Internal and External Spillovers: Analysis of BRICS economies within a VAR-BEKK framework.” (December 20, 2018).

    Patra, S. (Author & Presenter), Pattnaik, R. K., Empirical Issues in International Trade and Finance, “Decoding the Forward Market Premia Puzzle In Currency Markets,” IIFT, New Delhi. (December 13, 2018).

    Patra, S. (Author & Presenter), ISDSI International Conference 2017, “Internal and External Spillovers: Analysis of BRICS economies within a VAR-BEKK framework,” IIM-Trichy, Tiruchirapalli. (December 27, 2017).

    Patra, S. (Author & Presenter), Pan-IIM Conference, 2017, “First Passage Time Probabilities of Pearson Diffusion Process with Application to Options,” IIM-Lucknow, Lucknow. (December 14, 2017).

    Patra, S. (Author & Presenter), Conference on Excellence in Education and Research, 2017, “First Passage Time Probabilities of Pearson Diffusion Process with Application to Options,” IIM-Indore, Indore. (May 4, 2017).

    Patra, S. (Author & Presenter), India Finance Conference 2016, “A novel non-linear Value-at-Risk method for Options: The use of Pearson’s Type IV distribution,” IIM-Ahmedabad, Ahmedabad. (December 18, 2016).

    Patra, S. (Author & Presenter), International Conference on Financial Markets and Corporate Finance 2016, “Risk for Options: The use of MaxVaR as an alternative,” IIT-Madras, Chennai. (August 12, 2016).

    Patra, S. (Author & Presenter), Multinational Finance Society Annual Conference 2016, “A novel non-linear Value-at- Risk method for Options: The use of Pearson’s Type IV distribution,” Stockholm Business School, Stockholm. (June 26, 2016).

    Patra, S. (Author & Presenter), IFABS Annual Conference 2016, “The impact of Volume on Volatility and Value-at- Risk: Evidence from major stock exchanges around the world,” UAB, Barcelona. (June 1, 2016).

  • WORKING PAPERS

    Do Mutual Funds beat the markets: A comprehensive study of Indian Equity Mutual Funds in Bull and Bear Periods

    Static and Dynamic Value-at-Risk for Options: Do distributional Assumptions Matter?

    First Passage Probabilities of Pearson Diffusion Process with Application to Options.

  • COURSES

    Corporate Finance

    Advanced Corporate Finance

    Quantitative Methods – I

    Quantitative Methods – II

    Introduction to Econometrics

    Time Series Analysis

    R Programming

  • WORK EXPERIENCE

    S. P. Jain Institute of Management & Research, Mumbai (Dec 2017 – Now)

    Assistant Professor

    Indian Institute of Management, Amritsar (June 2017- Nov 2017)

    Assistant Professor

    Administrative Assignments

    Head, Central Examination, SPJIMR. (October 1, 2019 – Present)

    Project Lead, Analytics Specialization (PGPM), SPJIMR (July 1, 2021- Present)

  • MDPS/FDPS

    Corporate Finance for RBI

    Business Analytics- Open MDP

    FinTech- Open MDP

  • REVIEWER EXPERIENCE

    International Review of Financial Analysis

    Asia-Pacific Financial Markets

    Journal of Economic and Administrative Sciences

  • TEACHING INTEREST

    Corporate Finance

    Financial Risk Management

    Financial Analytics

    Quantitative Methods

    Business Analytics

  • PROFESSIONAL SERVICE

    Visiting Faculty at NRTI, Vadodara

AppLy Now