Prof. Jayanth R. Varma: Recent Research

This page covers the period from 2006 onwards.
Earlier work is available here and at the other links on the bottom of this page.
The Indian Fama-French-Momentum Website is here

Books from 2006

Derivatives and Risk Management, New Delhi, Tata McGraw Hill, 2009.

Publications in Books and Journals from 2006

“Size, Value, and Momentum in Indian Equities”, Vikalpa, 42(4), October-December 2017, 211–219 (with Sobhesh Kumar Agarwalla and Joshy Jacob) [Abstract]

“Finance in a World of Negative Rates”, Global Business Press Expert Insights, (with Vineet Virmani) [Abstract]

“Computational Finance Using QuantLib-Python”, Computing in Science & Engineering, 18.2 (2016): 78-88 (with Vineet Virmani) [Abstract] [Full Text - PDF (Accepted Paper Version)]

“Financial Literacy among Working Young in Urban India”, World Development, Volume 67, March 2015, Pages 101–109 (with S. K. Agarwalla, S. K. Barua and J. Jacob) [Abstract] [Full Text - PDF (Working Paper Version)]

“Indian Financial Market Development and Regulation: What Worked and Why?”, in Masahiro Kawai and Eswar Prasad (ed), Asian Perspectives on Financial Sector Reforms and Regulation, Brookings Institution Press, 2011 [Abstract]

“Finance Teaching and Research after the Global Financial Crisis”, Vikalpa, October-December 2011 [Abstract] [Full Text - PDF (Working Paper Version)]

“Risk Management Lessons from the Global Financial Crisis for Derivative Exchanges”, in Robert W. Kolb (ed.), Lessons from the Financial Crisis: Causes, Consequences and Our Economic Future, Kolb Series in Finance, New Jersey: John Wiley, 2010, 317-323 [Abstract]

“Indian Financial Sector and the Global Financial Crisis”, Vikalpa, July-September 2009, 34(3), 25-34 [Abstract]

“Satyam Fraud: The Regulatory Response”, in “The Satyam Story: Many Questions and A Few Answers”, Vikalpa, January-March 2009, 34(1), 75-77 [Abstract]

“Corporation and its Shareholders: What Should B-Schools Teach? (Colloqium)”, Vikalpa, 31(2), April-June 2006, 120-121 [Abstract]

Articles in Financial Dailies and Periodicals from 2006

“Signs of incipient capital flight?”, DNA, March 8, 2013 [Related blog entry]

“Disguised Capital Flight and Current Account Deficit”, The Efficient Frontier, March 2013 [Abstract]

“Corporate Hedging and Distorted Benchmarks”, CFO Connect, August 2012 [Abstract]

“Exit policy for financial institutions”, Mint, April 16, 2012 [Related blog entry]

“Go regional, then global”, Financial Express, February 22, 2011 [Related blog entry]

“Complete that demat process”, Financial Express, January 19, 2011 [Related blog entry]

“Jalan wants to kill the exchanges”, Financial Express, November 30, 2010 [Related blog entry]

“Learning from Buffet”, Financial Express, November 24, 2010 [Related blog entry]

“Autopsy gone wrong”, Financial Express, October 15, 2010 [Related blog entry]

“Not a ‘fit and proper’ debate””, Financial Express, September 24, 2010 [Related blog entry]

“Don’t bank on size, don’t fear failure””, Financial Express, August 13, 2010 [Related blog entry]

“Dealing with regulatory fisticuffs””, Financial Express, July 21, 2010 [Related blog entry]

“Why we need better market surveillance””, Financial Express, June 16, 2010 [Related blog entry]

“Does Wall Street serve any purpose?””, Financial Express, May 5, 2010 [Related blog entry]

“Let courts sort out Sebi Irda dispute””, Financial Express, April 17, 2010 [Related blog entry]

“Fill the gaps with apex regulator””, Financial Express, March 19, 2010 [Related blog entry]

“These tax changes don’t need a code””, Financial Express, February 19, 2010 [Related blog entry]

“Listen to Volcker on regulation””, Financial Express, January 26, 2010 [Related blog entry]

“In finance, we are now coupled””, Financial Express, December 29, 2009 [Related blog entry]

“Sometimes, banks will end up failing”, Financial Express, December 23, 2009 [Related blog entry]

“Settle for new systems or suffer”, Financial Express, December 2, 2009 [Related blog entry]

“Googling to regulate finance firms”, Financial Express, October 19, 2009 [Related blog entry]

“Don’t believe you can’t be hurt”, Financial Express, September 15, 2009 [Related blog entry]

“Those fixed rate, 30 yr home loans”, Financial Express, August 22, 2009 [Related blog entry]

“Why RBI’s logic on DMO does not hold”, Financial Express, July 23, 2009 [Related blog entry]

“The problem with deficit? Tight money”, Financial Express, July 17, 2009 [Related blog entry]

“Almost like Rajan”, Financial Express, June 19, 2009 [Related blog entry]

“Still Efficient”, Financial Express, April 1, 2009 [Abstract]

“Accounting for blue chips”, Financial Express, March 2, 2009 [Related blog entry]

“Towards a new code”, Financial Express, February 5, 2009 [Related blog entry]

“Open the books”, Financial Express, January 22, 2009 [Related blog entry]

“India in a ZIRP world”, Financial Express, January 3, 2009 [Related blog entry]

“Sovereign limitations”, Financial Express, December 12, 2008 [Related blog entry]

“Show me the balance sheet”, Financial Express, November 27, 2008 [Related blog entry]

“Liquidity or solvency?”, Financial Express, November 12, 2008 [Related blog entry]

“Bubble in our backyard”, Financial Express, October 11, 2008 [Related blog entry]

“Back to Basics”, Asian Banker, March 2008 [Abstract] [Full text - Scanned Image]

“Is it time to start an OTC derivatives market?”, Business Standard, November 14, 2007 [Abstract] [Full text - Downloaded from Business Standard web site]

“More noise, less effect”, Business Standard, October 19, 2007 [Abstract] [Full text - Downloaded from Business Standard web site]

“Internal Capital: Best Practices”, CFO Connect, April-May 2007 [Abstract]

“Making the long view count”, Financial Express, March 1, 2007 [Abstract] [Full text - Downloaded from Financial Express web site]

“A year of uncertainty and volatility”, DNA, January 3, 2007 [Abstract]

“Allow Foreign Investment in SEs?”, Economic Times, November 27, 2006 [Abstract] [Full text - Downloaded from Economic Times web site]

“A Solution to the Financial Last Mile Problem”, CFO Connect, September-October 2006 [Abstract] [Full text - Scanned Image]

“On Nasdaq, LSE and extra-territoriality”, DNA Money, September 25, 2006 [Abstract] [Full text - Scanned Image]

“It won’t reduce volatility, but create a vibrant market”, Financial Express, June 26, 2006 [Abstract] [Full text downloaded from Financial Express web site]

“Reconnecting Directors to the Company”, CFO Connect, May-June 2006 [Abstract] [Full text - Scanned Image] [Full text - As Submitted]

“Sebi norms largely okay”, Financial Express, April 4, 2006 [Abstract]

“The crux of the MATter: capital gains tax is back”, Financial Express, March 1, 2006 [Abstract] [Full text - Scanned Image]

“Reliance Demerger as Backdoor Delisting”, Financial Express, February 13, 2006 [Abstract] [Full text downloaded from Financial Express web site]

“Rethinking Risk”, CFO Connect, January-February 2006 [Abstract] [Full text - Scanned Image]

Working Papers, Conference Papers and Research Studies from 2006

“Betting Against Beta in the Indian Market”, IIMA Working Paper No. 2014-07-01, July 2014 (with S. K. Agarwalla, J. Jacob and E. Vasudevan) [Abstract] [Full Text - PDF]

“High Frequency Manipulation at Futures Expiry: The Case of Cash Settled Indian Single Stock Futures”, IIMA Working Paper No. 2014-02-01, February 2014 (with S. K. Agarwalla and J. Jacob) [Abstract] [Full Text - PDF]

“Four factor model in Indian equities market”, IIMA Working Paper No. 2013-09-05, September 2013 (with S. K. Agarwalla and J. Jacob) [Abstract] [Full Text - PDF]

“Time Resolution of the St. Petersburg Paradox: A Rebuttal”, IIMA Working Paper No. 2013-05-09, May 2013 [Abstract] [Full Text - PDF]

“When index dissemination goes wrong: How fast can traders add and multiply?”, IIMA Working Paper No. 2010-08-04, August 2010 [Abstract] [Full Text - PDF]

“Risk Management Lessons from the Global Financial Crisis for Derivative Exchanges”, IIMA Working Paper No. 2009-02-06, February 2009 [Abstract] [Full Text - PDF]

“A First Cut Estimate of the Equity Risk Premium in India”, IIMA Working Paper No. 2006-06-04, June 2006 (with S. K. Barua) [Abstract] [Full Text - PDF]

Cases from 2006

Swap Curve Steepener (with Vineet Virmani) Case written in 2007Abstract

Hundred Million Dollar Beta (with Vineet Virmani) Case written in 2016Abstract

Swiss Roll - A (with Vineet Virmani) Case written in 2016Abstract

Swiss Roll - B (with Vineet Virmani) Case written in 2016Abstract

Angels and Crowds (with Joshy Jacob) Case written in 2015Abstract

The Mispriced ADRs of Allied Irish Banks (with Joshy Jacob) Case written in 2014Abstract

Great Northern Iron Ore Properties (with Joshy Jacob) Case written in 2014Abstract

MotherRock LP: Natural Gas Calendar Spread Case written in 2013Abstract

Hedging Cross Border Commodity Price Risk Case written in 2013Abstract

Pitfalls in Single Stock Futures Case written in 2013Abstract

Hedging using Target Redemption Forward Case written in 2013Abstract

JPMorgan Chase and the London Whale Case written in 2013Abstract

General Electric and GE Capital (with Joshy Jacob) Case written in 2011Abstract

Cases in Market Manipulation and Regulatory Violations Case written in 2011Abstract

ICICI Equity Issue 2007 (with Sobhesh K. Agrawalla and Joshy Jacob) Case written in 2010Abstract

Mizuho Securities and other trading errors Case written in 2010Abstract

Vedanta Resources plc. Case written in 2008Abstract

Committee Reports from 2006

More details of the committees are available here

G. N. Bajpai Committee on Investment Pattern for Insurance and Pension Sector, 2013 [PDF File]

Financial Sector Legislative Reforms Commission, 2013 [Vol 1 PDF File] [Vol 2 PDF File]

Raghuram Rajan Committee on Financial Sector Reforms, 2009 [PDF File]