Kabir Dutta, MBA, PhD

Kabir Dutta, MBA, PhD

Assistant Professor

Academic Discipline: Finance

Areas of Interest: Corporate Finance, Fixed Income, Financial Engineering, Operational Risk, Credit Risk, Enterprise Risk Management, Information Economics, Policy Studies for Banking Regulation


Phone: 410-234-9403

Biography

Kabir Dutta received PhD in Financial Engineering from the University of Pennsylvania, MBA in Finance from the Wharton School of the University of Pennsylvania and MS in Computer Science from the Courant Institute of Mathematical Sciences of the New York University. He is an Assistant professor of Finance in the practice track with expertise in financial risk management, stability of financial institutions, information economics, and operational risk.

He has extensive experience and held several senior positions  across various industries such as telecommunication, energy, exploration and production, management consulting, financial services, and financial regulation.

Honors & Distinctions

  • Fellow of the Wharton Financial Institutions Center
  • Received National Science Foundation (NSF) grant on a proposal of research in the area of Enterprise Risk Management ​- 2002
  • Finalist for Franz Edelman Award, Institution for Operations Research and the Management Sciences (INFORMS) – 1995
  • Received Indian National Fellowship for Study Abroad, 1986

Selected Publications

  • Use and application of the g-and-h distribution in the Financial Risk Management, Proceeding of the 58th ISI World Statistics Congress, Dublin, Ireland, August 2011
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  • Scenario Analysis in the Measurement of Operational Risk: A Change of Measure Approach (with David Babbel), Wharton Financial Institution Working paper, March 2010, Journal of Risk and Insurance, 81(2), 2014, 303-334
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  • A Tale of Tails: An Empirical Comparison of Loss Distribution Models for Estimating Operational Risk Capital (with Jason Perry), Federal Reserve Bank of Boston Working Paper, July 2006,  Under Review
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  • Extracting Probabilistic Information from the Price of Interest Rate Options: Tests of Distributional Assumptions (with David Babbel), Journal of Business, 78(3), 2005, 841-870. Also Working Paper (# 02-26), Financial Institutions Center, The Wharton School, University of Pennsylvania, June 2002
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  • On Measuring Skewness and Kurtosis in Short Rate Distributions:  The Case of the US Dollar London Inter Bank Offer Rates (with David Babbel),    Working Paper (# 02-25), Financial Institutions Center, The Wharton School, University of Pennsylvania, June 2002.  Under Review
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  • A Note on the Solution to a Three-Factor Affine Term Structure Model (with Craig Merrill), Journal of Fixed Income, December, 1999

Works In Progress

  • Internal Risk Management for a Financial Institution through Capital Allocation
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  • Risk Retention and Transfer of Enterprise Risk
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  • An Analysis of the Effect of Skewness and Kurtosis of Return Distribution on Risk Management
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  • Issues Related to Dodd-Frank Act Stress Test for Operational Risk of Financial Institutions