In this thesis, we consider three non-trivial problems of risk allocation and apply approaches
from theoretical finance and risk management to address several policy debates from a …

We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical
framework identifies how portfolio trades provide dealers with benefits through a …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across
institutions. We construct a model that can be estimated from high-frequency CDS data. This …

Credit Default Swaps (CDS) are financial derivative products that insure bond investors
against firm-default. Determining the payout, however, is complicated because the …

We study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations
of the credit default swap (CDS)-bond bases. We develop a model in which common EU …

The rapid rise of corporate bond portfolio trading since the end of 2017 has attracted
attention from practitioners and regulators alike. I show that inventory hedging explains the …

Using regulatory interdealer trade-level data on Overnight Indexed Swaps (OIS) in India, the
paper examines the trading behaviour and prices in an interdealer market populated by …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across
institutions. We construct a model that can be estimated from high-frequency CDS data. This …

Following the global financial crisis (GFC) in 2007, the Basel Committee on Banking
Supervision (BCBS) bolstered regulations governing financial risks encompassing market …

This paper examines the comparative utility of qualitative information collected on capacity
utilisation (CU) through the Industrial Outlook Survey (IOS) of the Reserve Bank of India …