About

IIT Kanpur

Indian Institute of Technology, Kanpur (IIT Kanpur) is one of the premier technical institutions established in 1959 by the Government of India with the collaboration of a consortium of nine universities from the USA. From the day of its inception, the aim of the institute has been to provide meaningful education, to conduct original research of the highest standard and to provide leadership for the growth of this country. At present IIT Kanpur has a sprawling residential campus of 1000 acres with about 8300 undergraduate/postgraduate students, 440 faculty members and more than 1200 supporting staff. The institute has a well designed faculty building, fully equipped classrooms, seminar and conference rooms, computer science building, biological sciences building, residential quarters for the faculty & staff members, hostels for the students, an excellent library, etc. The presence of lush green trees, manicured lawns, wide roads make the campus picturesque and well endowed. IIT Kanpur has always strived to develop itself into an institution of excellence in education and research in consonance with the contemporary and future needs of India. The institute has made special efforts to recruit talented faculty on a worldwide basis and admits students in the different programs from all over the country by a very careful selection process. In addition to offering formal undergraduate, post-graduate and Ph.D. programs, the institute has also been involved in continuing education and research & development in areas of value to both the industry and the society. The vision of the institute is to emerge as an international centre of excellence in all facets of technical and management education by being a melting pot of academia, industry and research, but at the same time being rooted in Indian ethos and societal values.


Industrial and Management Engineering Department

The Industrial and Management Engineering (IME) department at IIT Kanpur started in 1974. It has three separate programs, which are M.Tech, MBA and Ph.D. For the M.Tech and Ph.D. programs the main thrust areas of research and teaching are in Operations Research (OR), Operations Management (OM), Flexible Manufacturing Systems (FMS), etc. In 2000 the IME department started the MBA program, which, under the aegis of IIT Kanpur, has fast blossomed into a successful program where the emphasis is always on building the quantitative skills of the students along with their knowledge in other areas of management. IME has a very vibrant faculty, who are deeply dedicated into research and teaching. The vision of the department is to define itself as a leading management institute of the twenty-first century so that it is able to educate the leaders of a technologically driven world for the coming decades. For that, the IME department is geared up to impart the best education needed to the students as well as to the industry in such a way that synergy is attained within the requirements of industry, government and the core beliefs of IIT Kanpur

Overview about the short term course

The short-term course spread over eight days (in the weekends) titled Data Analytics in Investment, Risk and Portfolio Management is a rigorous and intense hands-on course in the exciting field of Quantitative Finance. This course structure is carefully designed so as to take the participants along the difficult terrain of Financial Mathematics, Investment and Risk Analysis, so as to help the applicants explore different aspects of quantitative and mathematical finance, as well as put into practice different tools of finance, portfolio analysis and risk management which they learn. The proposed Data Analytics in Investment, Risk and Portfolio Management short term course would explore the different introductory aspects of quantitative and mathematical finance, as the program's curriculum aims to build up from the fundamentals to the applications aspect, covering topics like (i) Fixed Income Securities; (ii) Equity Valuation and Risk Management; (iii) Portfolio Management & Investment Analysis; (iv) Derivative Contracts; (v) Credit Risk Management (vi) Utility Theory, etc. Emphasis would be laid on quantitative and mathematical modeling techniques that support the analysis and problem solving in finance such as, (i) Statistics & Estimation; (ii) Stochastic Calculus, (iii) Optimization; (iv) Regression Analysis along with Logit and Probit Models; (v) Forecasting; (vi) Time series; (vii) Panel data analysis etc., The stress in these respective areas during the short term course, would ensure a very thorough and an in depth understanding of the different theories and relevant aspects of Data Analytics in Investment, Risk and Portfolio Management. Through exciting class lectures; innovative and up to date course materials and hands on tutorials, participants of these programs will gain the state-of-the-art knowledge and be conversant with the different techniques in Data Analytics in Investment, Risk and Portfolio Management under the able guidance of reputed faculty members from IIT Kanpur, INDIA and also well know figures from the financial sector.

Objectives for the short term course

In today's world apart from knowledge, the other important driving force to running an organization (be it government or private) successfully is efficient use of resources like finance. While working with money an organization or individual faces situations where prior sound knowledge of different tools used in finance is of immense benefit. This short term course titled Data Analytics in Investment, Risk and Portfolio Management is envisioned to give the participants an in-depth and rigorous grounding in use of modern mathematical and computational techniques (like Statistics, Stochastic Calculus, Regression Techniques, Logit and Probit Models, Optimization, etc.) in areas like Portfolio Analysis, Investment Management, Risk Mitigation, Derivative Pricing, etc. Participants of this course will be given the theoretical rigour and practical experience necessary for solving variety of problems in a wide range of applications related to banking, treasury, investment management, manufacturing, e-commerce, project management, etc

Who can Attend this short term course

This short-term course is specifically meant for students, young faculty and professionals from Industry with demonstrated aptitude and interest in Financial Economics, Statistics, Financial Engineering and Management, and Financial Mathematics. Hence people in academia and industry or anyone keenly interested in gaining knowledge about quantitative finance, investment and its application would be encouraged to attend this course. With an excellent blend of theory as well as practical examples and a very comprehensive and exhaustive course curriculum schedule, this program would undoubtedly be a very good learning experience for the participants. In all, around 50 participants will be selected from all around the country out of the total pool of applicants, based on their vita and work experience. Special care will be taken to accommodate deserving people from various financial Institutions. This short-term course will bring together a unique galaxy of distinguished faculty from IIT Kanpur and industry experts, and it would undoubtedly be a good platform and source for the participants to build up the requisite knowledge in this field, in future for the ever growing finance industry.

Instructors details and Brief Course Content

Topics Instructor Day/Date/Time
  • Introduction to Panel data analysis and causal inference methods
Prof. Subhankar Mukherjee Day 01 (02-Oct-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Fixed Income Securities: Specifics, Valuation and Risk Management
  • Equity Valuation: Valuation methods and introduction to portfolio management
Prof. Suman Saurabh Day 02 (03-Oct-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Financial Statistics (EVD, Sampling, Bootstrapping, Simulation, etc.)
  • Stochastic Processes and their Application in Quantitative Finance (Brownian Motion, Markov Process, Itô's Lemma, Weiner Process, etc.)
Prof. Raghu Nandan Sengupta Day 03 (23-Oct-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Forecasting (MA, Exponential Moving average, Holt Method, Holt Winter Method, etc.)
  • Regression Analysis: Simple regression, Multiple regression, Dummy variable regression
  • Probit and logit regression
  • Time series analysis
  • Application of regression techniques using financial data
Prof. Raghu Nandan Sengupta Day 04 (24-Oct-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Derivative Contracts: Specifics, Pricing, Valuation and Risk Management
Prof. Suman Saurabh Day 05 (30-Oct-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Optimization and Application in Portfolio Management (Markowitz Model, LP and Integer programming formulation, etc.)
Prof. Raghu Nandan Sengupta Day 06 (31-Oct-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Optimization and Application in Portfolio Management (Markowitz Model, LP and Integer programming formulation, etc.)
  • Utility Theory and Investment Analysis, Bayesian Analysis and use in Financial Decisions (Risk, Different Utility Functions, Safety first principle, Stochastic dominance, etc.)
Prof. Raghu Nandan Sengupta Day 07 (06-Nov-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)
  • Risk Management (Beta, VaR, CVaR, etc.)
  • Credit Risk Modeling (Altman, KMV, Ohlson, etc.)
Prof. Raghu Nandan Sengupta Day 08 (07-Nov-21)
09:00-10:00 hrs (IST)
10:15-11:15 hrs (IST)
11:30-12:30 hrs (IST)
14:00-15:15 hrs (IST)
15:15-16:15 hrs (IST)
16:30-17:30 hrs (IST)

Speakers

Prof. Raghu Nandan Sengupta

Department of Industrial and Management Engineering
Indian Institute of Technology Kanpur
Kanpur – 208 016, INDIA
Phone: +91-512-679-6607
Email: raghus@iitk.ac.in
Webpage: https://www.iitk.ac.in/new/raghu-nandan-sengupta

Prof. Subhankar Mukherjee

Department of Industrial and Management Engineering
Indian Institute of Technology Kanpur
Kanpur – 208 016, INDIA
Phone: +91-512-679-2048
Email: subhankar@iitk.ac.in
Webpage: https://www.iitk.ac.in/new/subhankar-mukherjee

Prof. Suman Saurabh

Department of Industrial and Management Engineering
Indian Institute of Technology Kanpur
Kanpur – 208 016, INDIA
Phone: +91-512-679-2015
Email: sumans@iitk.ac.in
Webpage: https://www.iitk.ac.in/new/suman-saurabh

Registration Procedure

Category Wise Registration Fees

Participants from abroad (Others): US$ 325
Industry/Research Organizations: Rs. 17,700 (Including GST)
IIT Kanpur Student Rs. 5,000
Non-IIT Kanpur Student Rs. 5,900 (Including GST)
IIT Kanpur Faculty Rs. 10,000
Non-IIT Kanpur Faculty Rs. 11,800 (Including GST)

How to Register

Setp 1: Please make fees payment according to your category Click Here for Instructions and Payment


Details to be filled while registration

Course Code: IITK/CCE/21-22/017
Course Title: Data Analytics in Investment, Risk and Portfolio Management
Course Duration: 25 Sept to 31 Oct 2021


Step 2: Fill up the Google Form to complete your registration Link Removed

Contact Person

In case of any query related to registration please contact to following person.

Mr. Vinay Kumar

Centre for Continuing Education
Indian Institute of Technology Kanpur
Kanpur – 208 016, INDIA
Phone: +91-512-679-7795
Email: vinayku@iitk.ac.in

Mr. Yogendra Singh

Centre for Continuing Education
Indian Institute of Technology Kanpur
Kanpur – 208 016, INDIA
Phone: +91-512-679-7795
Email: yogs@iitk.ac.in