I am an Assistant Professor (with tenure) in the Decision Sciences Area at the Indian Institute of Management Bangalore. I completed my B.E. in Electronics Engineering at Mumbai University in 2015, followed by an M.Sc. and Ph.D. in Quantitative Risk Management at the Tata Institute of Fundamental Research, Mumbai, in 2021, under the supervision of Sandeep Juneja. Before joining IIM Bangalore, I was a Postdoctoral Researcher at the Singapore University of Technology and Design. My research develops methods for analysing rare, high-impact events in Operations Research and Quantitative Finance.
Core Research Themes
- Quantitative Risk Management
- Extreme Value Theory and Rare Event Simulation
- Distributionally Robust Optimization and Chance Constraints
- Financial Networks
Selected Honors
Publications & Research
Journal Publications & Preprints
Decision Scaled Approach to Scenario Approximation
with Jaeseok Choi, Constantino M. Lagoa, Anirudh Subramanyam
Preprint under review at Mathematical Programming
On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures
Preprint under review at Extremes
The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization
with Karthyek Murthy
Preprint to be submitted to Management Science
Achieving Efficiency in Black-box Simulation of Distribution Tails with Self-structuring Importance Samplers
with Karthyek Murthy
Operations Research, 2025 journal version
I-SIM Best Publication Award (2024)
Third Prize at INFORMS JFIG (2021)
Reduced Sample Complexity in Scenario-Based Control System Design via Constraint Scaling
with Jaeseok Choi, Constantino M. Lagoa, Anirudh Subramanyam
IEEE Control Systems Letters, 2024 (American Control Conference 2025)
Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator
with Sandeep Juneja
Operations Research, 2021
Best Paper Award at the CRISIL Doctoral Symposium (2017)
City-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic
with TIFR and IISc COVID Simulation Teams
Journal of the Indian Institute of Science, 2020
Publications at Conferences with Proceedings
Generating Stress Laws Using Large Deviations
Winter Simulation Conference, 2026 (Accepted)
Sampling distribution tails using Generative Models
with Mantu Gupta
Winter Simulation Conference, 2026 (Accepted)
Importance Sampling for Optimisation with Rare Events: A Tutorial
with Karthyek Murthy (Invited Tutorial)
Winter Simulation Conference, 2024
Overcoming the Sample Complexity Barrier in Risk Analytics with De-biased Learning
with Karthyek Murthy and Arjun Ramachandra
Analytics for X, 2022
Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk
with Karthyek Murthy and Tirtho Sarker (Invited Paper)
Winter Simulation Conference, 2022
Efficient Black Box Importance Sampling for VaR and CVaR estimation
with Karthyek Murthy
Winter Simulation Conference, 2021
Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives
with Karthyek Murthy
Control and Decision Conference, 2020
Limiting distributional fixed points in systemic risk graph models
with Sandeep Juneja (Invited Paper)
Winter Simulation Conference, 2019
Working Papers
Learning Stress Laws Conditioned on Rare Joint Losses
with Mantu Gupta (Draft available upon request)
Asymptotic Analysis of Distributionally Robust Optimization
with Harshit Joshi
Black Box Importance Sampling for Chance Constrained Optimisation problems
with Anirudh Subramanyam, Sai Rakshith, Shanyin Tong and Karthyek Murthy
An Extreme Value Theory based Distributionally Robust Scheme for Portfolio Optimization with Tail Risks
with Samarth Pardhi
Estimation of tail probabilities for spatial extremes
with Soudeep Deb, Madhab Barman and Lizan Periera
No Unique Minimizer, No Problem: On the Consistency of Robust Neural Classifiers
with Subhabrata Majumdar, Abhik Ghosh and Partha Pratim Saha (Paper Submitted)
Selected Talks
Invited Speaker at Meetings
Simple Closed Form Maximum Likelihood Estimators
INFORMS Annual Meeting, 2018
Limiting Distributional Fixed Points in Systemic Risk Graph Models
APS 2019, MCM 2019
Combining Retrospective Approximation with Importance Sampling for Black Box CVaR Optimisation
ICC-OPT 2022, WSC 2022
Overcoming the Sample Complexity Barrier in Risk Analytics with De-biased Machine Learning
Analytics for X, 2022
Video of the talkEfficient Importance Scenario Generation for Optimisation with Rare Events
SIAM Conference on Optimisation, 2023; LPS 2023; POMS-HK 2024
Efficient Solution to Chance Constrained Optimisation Problems using Self-Structuring Importance Samplers
EMI-PMC 2024, INFORMS International Meeting, 2025
Decision Scaling Based Approach for Chance Constrained Problems with Rare Events
INFORMS International Meeting, 2025, SPCOM, 2026
Learning Conditional Stress Laws under Rare Joint Losses
NUS Quantitative Finance Conference, 2026
Departmental Seminars and Symposia
Credit Risk: Approximate Closed Form MLE
SUTD Departmental Seminar, 2019
Achieving Efficiency with Self-Structuring Black Box Importance Samplers
STCS Symposium, 2021; IIM Bangalore, 2022
Simulation of Distribution Tails with Black Box Importance Samplers
IIT Bombay, 2021; Plaksha University, 2022
Making Robust Decisions in the Presence of Rare Events
Indian School of Business, 2023; IIM Bangalore, 2023; Tata Institute of Fundamental Research, 2024; Penn State University, 2024
Talks to Industry Professionals
Looking Beyond the Gaussian for Modelling Credit Risk
AI Labs, American Express, Bangalore, April 2023
Other
Teaching
MBA
Advanced Probability and Statistical Models
IIM Bangalore, September 2023
IIM-B Excellence in Teaching, 2023
Decision Sciences (I)
IIM Bangalore, June 2024, 2025, 2026
Quantitative Risk Management
IIM Bangalore, January 2026, June 2026
Ph.D.
Linear Algebra
Indian School of Business, August 2025
Executive Education
Advanced Statistical Analysis
Indian School of Business, January 2025, 2026
Sampling and Estimation
IIM Bangalore, May 2025
Invited Lectures
Quantitative Risk Management
ACM India Winter School 2025: AI and Finance, IIIT Hyderabad
Course materialTheory of Extremes: Modelling and Statistics
TIFR, March 2022
Student Mentoring
Ph.D. Students
Mantu Gupta
IIM Bangalore, Sep 2023 – Present
Projects: Efficient estimation of CVaR sensitivities using importance sampling; generative models for extreme events.
Lizan Periera
IIM Bangalore, Jun 2024 – Present
Projects: Estimation of Spatial Extremes.
Spandan Roy
Sep 2025 – Present
Projects: Reverse Stress Testing using Large Deviations Theory.
Ayushi Singh
Sep 2025 – Present
Project: Importance sampling for minimisation of non-linear tail risk measures.
Postdoctoral Researchers
Madhab Barman
IIM Bangalore, Jun 2025 – Present
Project: Data-driven estimation of rare event probabilities for spatial extremes, with applications to rainfall data.
Doctoral Thesis Committees
Kapil Gupta, IIM Bangalore
Kunal Rai, IIM Bangalore
Masters Students and Interns
Tirtho Sarker
Intern, SUTD
Sai Rakshith
Master's Project Student
Projects: Importance sampling for chance constrained optimization; estimation of spatial extremes.
Samarth Pardhi
Intern, IIM Bangalore
Project: Extreme value theory based distributionally robust optimization for minimising tail risks.
Harshit Joshi
Intern, IIM Bangalore
Project: Asymptotic analysis of distributionally robust problems.