AUT - Ihsan Badshah

Dr Ihsan Badshah

Senior Lecturer in Finance

Phone: + 64 9 921 9999 ext 5394

Email: ihsan.badshah@aut.ac.nz

Qualifications:

• Doctor of Science (D.Sc.) in Finance
• Master of Science (M.Sc.) in Computational Finance
• Master of Business Administration (MBA)
• Bachelor of Science (B.Sc.) in Computer Science

Biography:

Dr. Ihsan Badshah is a Senior Lecturer in Finance at AUT University. He obtained his D.Sc. degree (with Excellent Grade “3/3”) from Hanken School of Economics, Finland, his D.Sc. thesis is entitled “Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing and Risk Management”. He also holds M.Sc. Computational Finance, MBA and B.Sc. Computer Science degrees.

Since joining AUT in July, 2010 he has been actively involved in teaching activities, for instance course “Financial Modeling and Data Analysis”. Previously he taught advanced M.Sc. level courses “Financial Modeling using MS Excel and VBA”, and “Research Methods in Finance” from 2007 to 2010 at Hanken School of Economics, Finland. He has been involved in a research project “Corporate governance in Russia” initiated by the Academy of Finland. Besides he has presented in leading international conferences around the globe such as European Financial Management Association (EFMA), Financial Management Association (FMA) International, Multinational Finance Society (MFS), Global Finance, and the Nordic Finance Network (NFN) etc. Ihsan has been awarded scholarships from Hanken Foundation, NASDAQ-OMX Foundation, Evald & Hilda Nissi Foundation, Center of Financial Research (CEFIR), Ella & Georg Ehrnrooth Foundation, and Marcus Wallenberg Foundation.

Teaching Areas:

Expertise in Degree and Postgraduate Teaching

• Financial Modeling using MS Excel and VBA
• Research Methods in Finance
• Financial Modeling and Data Analysis
• Banking and Financial Markets
  

Interest in Research Supervision

• Asset Pricing
• Risk Modeling
• Empirical Regularities in Financial Markets
• Market Integration and Spillovers

Research areas:

• Modeling Implied Volatility 
• Empirical Issues in the Option Market
• Volatility Derivatives
• Volatility Spillovers
• Risk Management
• Financial Econometrics
• Corporate Governance

Current Research Projects:

• Modeling the Dynamics of Implied Volatility 
• Modeling Asymmetric Volatility
• Implied Volatility Spillovers
• Implied Value at Risk and Backtesting
• Modeling Interest Rate Swap Spreads Dynamics
• Corporate Governance Risk and Stock Prices

Publications:

Research papers and conference proceedings

1. Badshah, I. Quantile Regression Analysis of Asymmetric Return-Volatility Relation. European Financial Management Association (EFMA), 2010, conference proceedings, Aarhus, Denmark.
2. Badshah, I. Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indices, Financial Management Association (FMA) International, 2009, conference proceedings, Turin, Italy.
3. Badshah, I. Modeling the Dynamics of Implied Volatility Surfaces, European Financial Management Association (EFMA), 2008, conference proceedings, Athens, Greece.
4. Badshah, I. The Information Content of VDAX Volatility Index and Backtesting Daily Value-at-Risk Models, presented at Hanken’s Finance seminar, 2009, Vaasa, Finland.
5. Badshah, I. Modeling Risk Factors Driving the EUR, USD, and GBP Swaption Volatilities, presented at Graduate School of Finance (GSF) Winter Research Workshop, 2008, Vaasa, Finland.
6. Badshah, I. Portfolio Selection and Corporate Governance Risk: Evidence from Russia, 3rd International conference on Corporate Governance, 2005, conference proceedings, Birmingham, UK.