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Kanshukan Rajaratnam (Kanshu) |
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Department of Systems and Information Engineering University of Virginia PO Box 400747 151 Engineer’s Way Charlottesville,
VA 22904 |
Room 111C, Olsson Building Engineering Way University of Virginia |
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I am a doctoral candidate
at the Department of Systems and
Information Engineering at the University
of Virginia (UVa) in Charlottesville,
VA. Prior to UVa, I completed a MS (Industrial Engineering – Operations
Research) at the National University of Singapore and BS (Chemical Engineering) at the
University of Kwazulu-Natal in Durban, South Africa. I have also completed a
Master’s degree in Systems Engineering at UVa with concentration in
mathematical modeling. My Current Research Work o
A topic of interest in recent literature is the incorporation of
forecasts of future economic conditions into acquisition decisions for scored
retail credit and loan portfolios. We extend the current model to incorporate
economic capital requirements, where a portfolio manager must choose both a
cut-off score and the level of economic capitalization prior to account
performance. Overcapitalization results in higher cost of capital while
under-capitalization results in a reduction of portfolio size, with both
possibilities having profit consequences as studied in our previous work. We
then extend the single-bank model to a two-bank model. We are submitting this
work to a journal in spring 2010. (This work is under the supervision of Prof. Peter Beling). o
We extend the static credit union model to a dynamic model. Credit
unions have certain controls: interest rate for the loan customer, interest
rate for the savings customer, volume of savings and loans and equity
retention policy. We maximize the savings and loan customer’s utility within
the balance sheet and income statement constraints. This work should be
submitted to a journal during spring 2010. (This work is with Dr. Geoffrey Rubin, Prof.
George Overstreet, and Prof. Peter Beling). Updated 24 December 2009 |
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