Shalini Agnihotri

Assistant Professor
Finance & Accounting
shalini[at]iimv[dot]ac[dot]in



Prof.Shalini Agnihotri is Ph.D. from Faculty of Management Studies, University of Delhi. Prior to joining IIM Vishakhapatnam, she worked as Assistant Professor at IIM Bodhgaya, LBSIM-Delhi and visiting faculty at USME- Delhi Technical University and University of Delhi.  She is working in the area of quantitative finance, financial risk management, Market risk modelling, Investment management and portfolio optimization etc. She has six years of teaching experience.  

Education

Ph.D- FMS, University of Delhi, UGC-NET-JRF  and SRF recipient ., MBA- Finance, ICFAI Business School & B.Sc.(H) University of Delhi.

Subjects taught in PGP program in last four years:

Corporate Finance-1 & 2 in PGP(FT), Investment analysis & portfolio management in PGP(FT), Financial Derivatives in PGP(FT), Fixed income securities in PGP(FT), Business Valuation in PGP(Ex)

 and Financial Analytics in PGP (FT).

FPM/ Ph.D. Courses Taught

Research methods in finance

During her Ph.D. she worked on market risk modelling techniques for trading desk risk management of Indian companies and broad market indices.

  • Sinha, P., & Agnihotri, S. (2015). Impact of non-normal return and market capitalization on estimation of VaR. Journal of Indian Business Research, 7(3), 222-242 (ABDC listed).
  • Sinha, P., & Agnihotri, S. (2016). Investigating Impact of Volatility Persistence and Information Inflow on Volatility of Stock Indices Using Bivariate GJR-GARCH. Global Business Review, 17(5), 1145-1161. (Sage publication) (ABDC listed)
  • Sinha, P., & Agnihotri, S. (2017). Do foreign exchange risk and interest rate risk matter in debt or equity issuance and repurchase decision in Indian non-financial companies? Journal of International Business and Economy. [Accepted for Publication] (ABDC listed) 
  • Sinha, P., & Agnihotri, S. (2018). Bayesian And EVT Value-At-Risk Estimates of India’s Non-Financial Firms Journal of International Business and Economy 19(1): 50-75. (ABDC listed) 
  • Bedi, P., Shankar, D., Agnihotri, S., & Kalra, J. K., (2018) Comparison of VaR Methods: The Case of Indian Equities. Indian Journal of Finance, 12(1), 24-36. (SRCC Journal).
  • Agnihotri, S., & Nagpal, A. (2019). The Impact of High-Frequency Trading on Market Quality: Testimony from Indian Equity Derivatives Market. IUP Journal of Applied Finance, 25(3).

Working Papers

  • Agnihotri, S. & Mittal, M(2020). Modelling tail risk in Indian commodity markets using conditional EVT-VaR and their systemic linkage to Stock Market.
  • Agnihotri, S. (2020) Conditional-EVT VaR estimation of Indian commodity futures: Towards a planned margin system.
  • Agnihotri, S. (2021) Re-accessing safe- haven property of precious metals during COVID-19 pandemic using CVaR portfolio optimization method in G7 countries.

Articles in Newspaper

  • Banks for unbanked’- Hindu Business line- dated 6/06/2019
  • Reality check on FinTech revolution- The Pioneer, dated 11/06/2019
  • Digital Footprints: The new route to credit scoring? Hindu Business line- dated 20/08/2019

Reviewer in peer reviewed journals

  • Journal of Forecasting
  • Journal of International Business and Economy
  • Journal of Banking, Accounting and Finance
  • European Accounting review
  • Journal of Indian Business Research
  • Applied Economics

  FDP Conducted

  • Resource person for conducting workshop on Dynamic panel data models at Faculty of Management Studies, University of Delhi on 3rd August 2018.
  • Resource person for conducting workshop on Dynamic panel data models using GMM at DMS, IIT-Delhi on 28th December 2019.
  • Resource person for conducting workshop on Financial Modelling at Maharaja Agrasen college, 10th October 2018.

  • Co-ordinator Finance Lab – LBSIM -Delhi (2017-2019)