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Mohammed M Chaudhury

Mohammed M Chaudhury
Professor of Practice, Finance
Degree(s): 

BA, University of Dhaka, Bangladesh
MA, University of Dhaka, Bangladesh
MA, University of Waterloo, Canada
PhD, Simon Fraser University, Canada

Area(s): 
Finance
Phone: 
+1 514 398 5927
Email Address: 
mo [dot] chaudhury [at] mcgill [dot] ca
Alternate Email Address: 
karen [dot] robertson [at] mcgill [dot] ca
Address: 

Bronfman Building, [Map]
1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 1G5

Office: 
520
Biography: 

Professor Chaudhury joined the Desautels Faculty of Management, McGill University in 1996. Prior to that, he taught at the College of Commerce, University of Saskatchewan first as an Assistant Professor and later as a tenured Associate Professor of Finance during the 1985-1996 period. Professor Chaudhury has also visited with Southern Methodist University-Texas, Rutgers University-New Jersey and Xian Jiaotong University-China. Over the years, he has taught derivatives and risk management, risk capital, real estate finance, corporate finance, investments and portfolio management,global investments, international corporate finance, financial markets and institutions, and economics for managers at various levels (undergraduate, MBA, MBA Japan, and executive programs).

Most recently, Professor Chaudhury served at State Street Corporation (one of the world's largest custodial bank and institutional portfolio manager) as the Director of Model Risk Management and then as the Director of Market and Operational Risk Analytics. Previously he served as a Principal Economist (Director Level) with the Single Family Portfolio Management Division of US mortgage giant Freddie Mac. Early in his career, he also worked as a Junior Analyst with the Bangladesh Institute of Development Studies regarding a project on institutional support for rural industries in Bangladesh.

Professor Chaudhury's recent and ongoing research concerns financial risk measurement and management, liquidity of derivatives and the behavior of asset and derivative prices during the financial crisis. His doctoral research was on empirical testing of the well-known Black-Scholes option pricing model. Later works on derivatives include valuation of American futures options, effect of options on the underlying stocks, intermarket futures arbitrage and the market value and risk of interest rate swaps. Previous works also include empirical international asset pricing, seasonal variation in asset returns, econometrics, development of capital markets (in Bangladesh), and absenteeism.

Curriculum Vitae: 
Research Areas: 
Financial Crises
Risk Management
Selected Publications : 

Papers in Peer-Reviewed Journals

M. Chaudhury, 2010, A Review of the Key Issues in Operational Risk Capital Modeling, the Journal of Operational Risk 5(3), 37-66.

G. Capelle-Blancard and M. Chaudhury, 2007, Price Clustering in the CAC 40 Index Options Market, Applied Financial Economics. 17(15), 1201 1210.

M. Chaudhury, 2007, Upper Bounds for American Options, Research in Finance, Volume 23, 161-191. [Citations include Journal of Financial and Quantitative Analysis and 2010 Swedish dissertation on American options]

M. Chaudhury, 2006, What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?, Journal of Fixed Income 16(1), June, 21-37. [Summary by Gerard Breen in CFA Digest, February 2007, Vol. 37, No. 1: 21-23. Web Site: http://www.cfapubs.org/toc/dig/2007/37/1]

R. Bhuyan and M. Chaudhury, 2005, Trading on the Information Content of Open Interest: Evidence from the US Equity Options Market, Derivatives Use, Trading and Regulation 11(1), 16-36. [Citations include 2007 MBA Thesis of Hsiang-lin Chang: Forecasting Taiwanese Stock Market Based on the Open Interest on Futures Option, IIT Bombay Paper of SVD Nageswara Rao and Sanjay Kumar Thakur: Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market, Professional trading site of Mr.Swing.Com:http://swing-analysis.netfirms.com/ed3/1009.htm, Brazilian paper of Daphnis Theodoro da Silva Jr. and Luiz João Corrar: Avaliação Empírica da Existência de Conteúdo Informacional nas Posições de Contratos Futuros em Aberto de Índice Bovespa a Respeito das Cotações Médias do Índice Bovespa a Vista].

A. Chen and M. Chaudhury, 2002, The Market Value and Dynamic Interest Rate Risk of Swaps, Research In Finance 19, 199-239. [Citations include Andrew Chen, 1997, Derivatives and Bank regulation, Pacific Basin Finance Journal 5, 157-165]

S. Elfakhani, R. Wionzek and M. Chaudhury, 1999, Thin Trading and Mispricing Profit Opportunities in the Canadian Commodity Futures, Quarterly Review of Economics and Finance 39 (1), 37-58. [Citations include IMF World Economic Outlook, 2004]

M. Chaudhury and S. Elfakhani, 1997, Listing of Put Options: Is There Any Volatility Effect?, Review of Financial Economics 6(1), 57-75. [Citations include well-cited review paper: Stewart Mayhew, 2000, The Impact of Derivatives: What Have We Learned?, University of Georgia Working Paper, International Review of Finance 2003, Applied Financial Economics 2005, Investment Management and Financial innovations 2006, International Journal of Banking and Finance 2007, International Review of Financial Analysis 2006, Applied Financial Economics 2009]

M. Chaudhury and S. Elfakhani, 1997, The Impact of Options Delisting on the Underlying Stocks, Journal of Financial and Strategic Decision 10(3), 43-54. 

M. Chaudhury and C.F. Lee, 1997, Functional Form of Stock Return Model: Some International Evidence, Quarterly Review of Economics and Finance 37(1), 151-183.

M. Chaudhury, C.F. Lee and T.D. Coggin, 1995, Static Versus Dynamic Stock Return Generation Model: Some International Evidence, Advances in Investment Analysis and Portfolio Management 3, 91-122.

S. Elfakhani and M. Chaudhury, 1995, The Volatility Effect of Option Listing: Some Canadian Evidence, Quarterly Review of Economics and Finance 35(1), 97-116. [Citations include Empirical Economics 1997, Well-cited review paper: Stewart Mayhew, 2000, The Impact of Derivatives: What Have We Learned?, University of Georgia Working Paper, Journal of International Money and Finance 2004, International Review of Economics and Finance 2006, Applied Financial Economics 2009]

M. Chaudhury, 1995, Some Easy-To-Implement Methods of Calculating American Futures Option Prices, Journal of Futures Markets 15(3), 303-344. [Citations include the textbook of S. L. Gupta, 2005, Financial Derivatives: Theory, Concepts and Problems, 2004 Master’s Thesis of Hsieh-Chung Chang: Generalized Analytical Upper Bounds for American Option Prices,]

M. Chaudhury and J. Wei, 1994, Upper Bounds for American Futures Options: A Note, Journal of Futures Markets 14(1), 111-116. [Well-Cited, e.g.,in Journal of Monetary Economics, Journal of Econometrics, Journal of Financial and Quantitative Analysis, Journal of Futures Markets, Journal of Banking and Finance, Journal of Agricultural and Resource Economics, Applied Financial Economics; Information Extraction Survey Book: Martin Mandler, 2003, Market Expectations and Option Prices, Springer; Master’s Thesis: Hsieh-Chung Chang, 2004, Generalized Analytical Upper Bounds for American Option Prices; Textbook: S. L. Gupta, 2005, Financial Derivatives: Theory, Concepts and Problems; Book: Éric Jondeau, Ser-Huang Poon, Michael Rockinger, 2007, Financial Modeling under Non-Gaussian Distributions, Springer-Verlag: London, etc.]

M. Chaudhury, 1994, Seasonal Variations in the U.S. Stock Market Returns: 1927-1984, Review of Quantitative Finance and Accounting 4(4), 321-337. [Citations include Applied Economics Letters]

M. Chaudhury and I. Ng, 1992, Absenteeism Predictors: Least Squares, Rank Regression, and Model Selection Results, Canadian Journal of Economics 25(3), 615-635. [Well-Cited, Citations include Journal of Economic Surveys, Scandinavian Journal of Economics, Industrial and Labor Relations Review, Applied Economics, Quarterly Review of Economics and Finance, Rita M. Choy and Lawson Savery,1998, Employee Plateauing: Some Workplace Attitudes, Journal of Management Development 17(6), 392-401, Robert A. Hart, 2004, The Economics of Overtime Working, Cambridge University Press, Catherine Marshall, 2006, On Sick Leave, Perspectives 6(4) (Published by Statistics Canada), Xuelin Zhang, 2007, Gender Differences in Quits and Absenteeism in Canada, Statistics Canada, John S. Heywood, Uwe Jirjahn and Xiangdong Wei, 2008, Team Work, Monitoring and Absence, Journal of Economic Behavior and Organization 68, 676-690, Carlos García- Serrano and Miguel A. Malo , 2009, The Impact of Union Direct Voice on Voluntary and Involuntary Absenteeism, Journal of Socio Economics 38, 372-383].

M. Chaudhury and M. A. Miyan, 1990, Development of Capital Markets in Bangladesh, Journal of Business Administration 16(1,2), 70-90.

M. Chaudhury, 1989, An Approximately Unbiased Estimator for the Theoretical Black-Scholes European Call Valuation, Bulletin of Economic Research 41(2), 137-146.

M. Chaudhury, C. McKenzie and T. Ng, 1988, Canadian Money Market Seasonality, Finance 9(1), the Finance Division Proceedings of the Administrative Sciences Association of Canada 1988 Meetings held in Halifax, Nova Scotia.

M. Chaudhury, 1987, The Striking Price Bias of the Black-Scholes Formula with an Estimated Variance Rate, Economics Letters 25(December), 359-362. [Citations include Insurance Mathematics and Economics]

Choudhury, M. Chaudhury and S. Power, 1987, A New Approximate GLS Estimator for the Regression Model with MA(1) Disturbances, Bulletin of Economic Research 39(2), 171-177.

M. Chaudhury, 1987, Testing Dividend-Induced Systematic Biases of Black-Scholes Call Pricing (Abstract), Financial Review 22(3), August, 1987, p.30.

Books and Edited Volumes

Chapters in Books

Awards, Honours, and Fellowships: 

Awards

1980/81: University of Waterloo Graduate Scholarship

Fellowships

1984: Simon Fraser University Graduate Research Fellowship

Grants

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