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Core Faculty
DILIP KUMAR
Derivatives, Quantitative Finance, Risk Management, Corporate Finance, Financial Analytics, Trading Strategies
Assistant Professor of Accounting and Finance, Chairperson: Accounting and Finance Area

Google Citation :https://scholar.google.co.in/citations?user=N8y4jzMAAAAJ&hl=en

Phone: +91-5947-262176 (Ext. 237)
Email: dilip.kumar@iimkashipur.ac.in
Address:
IIM Kashipur
Kundeshwari, Kashipur
District- Udham Singh Nagar
Uttarakhand 244713

  • BIOGRAPHY

Dr. Dilip Kumar holds PhD in Finance and has done his PhD research work at Institute for Financial Management and Research (IFMR) Chennai. Before joining IIM Kashipur, he was a faculty member in the financial engineering department of IFMR Chennai. He has taught various courses such as Simulation Techniques in Finance, Financial Derivatives, Financial Risk Measurement and Management, Financial Engineering using MATLAB etc at both graduate and undergraduate level.

His research interests include extreme value volatility estimator, bias correction procedures for efficient estimation of volatility, robust volatility estimators, Modeling extreme value conditional volatility, risk spillover, dynamics in market efficiency under the impact of structural changes in market etc. His current research focuses on developing bias correction procedure for various extreme value volatility estimators. Another segment of his current research is about developing a robust extreme value volatility estimator and proposing a bias correction procedure for the same. He was also an Editorial Associate of the "Journal of Emerging Market Finance" published by sage publication. He is also a Chartered Financial Analyst (CFA) charter holder from the Institute of Chartered Financial Analyst of India.

  • SELECTED PUBLICATIONS
  • Dilip Kumar. (2017). Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis. International Review of Economics & Finance, 49, 149-167.(ISI listed)
  • Dilip Kumar and S. Maheswaran (2014), "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices”. Economic Modelling (Elsevier), Vol. 38, pp. 33 – 44. (ISI listed)
  • Dilip Kumar and S. Maheswaran (2014), "Modelling and forecasting the additive bias corrected extreme value volatility estimator”. International Review of Financial Analysis (Elsevier), Vol. 34, pp. 166 - 176. (ISI listed)
  • S. Maheswaran and Dilip Kumar (2013), "An automatic bias correction procedure for volatility estimation using extreme values of asset prices”, Economic Modelling (Elsevier), Vol. 33, pp. 701-712. (ISI listed)
  • Dilip Kumar and S. Maheswaran (2014), "A new approach to model and forecast volatility based onextreme value of asset prices”. International Review of Economics and Finance (Elsevier), Vol. 33, pp. 128 – 140. (ISI listed)
  • Dilip Kumar (2015), “Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis”. Economic Modelling (Elsevier), Vol. 49, pp. 354 – 371 (ISI Listed).
  • Dilip Kumar (2014), "Long range dependence in thehigh frequency USD/INR exchange rate”. Physica A: Statistical Mechanics and its Applications (Elsevier), Vol. 396, pp. 134 -148. (ISI listed)
  • Dilip Kumar and S. Maheswaran (2013), "Detecting sudden changes in volatility estimated from high, low and closing prices". Economic Modelling (Elsevier), Vol. 31, pp. 484-491. (ISI listed)
  • Major Projects

 

 

  • Courses
Number Name   Quarter/Term  
1 Financial Derivatives Term IV
2 Financial Risk Measurement and Management

Term V

3

4

5

6

7

8

9

10

11

Financial Analytics

Trading Strategies and Introduction to Market Microstructure

Corporate Finance

Quantitative Research Methods

Quantitative Research Methods in Finance

Mathematical Finance

Interest Rate Models and Credit Derivatives

Financial Risk Modelling

Market Microstructure and High Frequency Data Modelling

Term V

Term VI

Term III

FPM Term II

EFPM Term II

FPM Term IV

FPM Term V

FPM Term VI

FPM Term VI