Mo Chaudhury

Title: 
Professor of Practice, Finance
Contact Information
Phone: 
514-398-5927
Email address: 
mo [dot] chaudhury [at] mcgill [dot] ca
Alternate email address: 
mochaudhury [at] gmail [dot] com
cynthia [dot] wong3 [at] mcgill [dot] ca
Address: 

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

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
Building ID: 
Bronfman
Office: 
463
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, the behavior of derivative prices, and asset prices under extreme market movements. 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: 
Group: 
Faculty
Faculty Lecturers
Research areas: 
Risk Management
Graduate supervision: 

2015        Supervised 1 McGill MBA student’s Practicum study on Shadow Banking in China and Risk for Commodity Trading Desks in Canada 

2014         Served as external research supervisor of a doctoral student (Pedro Piccoli) from Brazil. Pedro spent the year 2014 with us at Desautels as a Graduate Research Trainee

2013         Supervised 1 McGill MBA Japan Student’s Practicum study on Dell Japan’s Corporate Real Estate Portfolio 

2011          Supervised 1 McGill MBA Student’s Practicum study on Structured Products

2008-09  Supervised 1 McGill MBA Student’s Practicum study on Exotic Derivatives

2005-06   Supervised 1 McGill MBA Student’s Independent Study Course on Basel II Accord Implications

2005-06   Supervised 1 McGill MBA Student’s Independent Study Course on Futures Arbitrage in India

2000-01   Research supervision of 1 McGill Executive Institute IMPM student.

1999-00   Research supervision of 6 McGill MBA Japan students.

1994-95    Supervisor, thesis supervision committee of 1 finance M.Sc. student, U of Saskatchewan.

1993-94    Member, thesis supervision committee of 2 finance M.Sc. students, U of Saskatchewan.

1993          July, external examiner for an M.A. Economics thesis, U of Saskatchewan.

1990         External examiner for 1 finance Masters student at Xian Jiaotong University, China.

1987-88   Supervised 5 MBA research projects, U of Saskatchewan.

1986-87   Research Advisor for 1 MBA student, U of Saskatchewan.

 

Taught previously at: 

1995/96   Visiting Faculty, Cox School of Business, Southern Methodist University, Dallas, Texas, United States

1985/95   (Tenured Associate Professor in 1989) College of Commerce, University of Saskatchewan, Saskatoon, Saskatchewan, Canada           

                 

Selected publications: 

Papers in Peer-Reviewed Journals

P. Piccoli, M. Chaudhury, A. Souza and W. V. da Silva, 2017, Stock Overreaction to Extreme Market Events, North American Journal of Economics and Finance 41(July), 97-111. http://ac.els-cdn.com/S1062940816301346/1-s2.0-S1062940816301346-main.pd...

P. Piccoli and M. Chaudhury, 2017, Overreaction to Extreme Market Events and Investor Sentiment, Applied Economics Letters.DOI: 10.1080/13504851.2017.1302052 http://www.tandfonline.com/doi/full/10.1080/13504851.2017.1302052

M. Chaudhury, 2017, Volatility and Expected Option Returns: A Note, Economics Letters 152 (March), 1-4. [Lead Paper]http://www.sciencedirect.com/science/article/pii/S0165176516305237

M. Chaudhury, 2016, Why Basel II Market Risk VaR is Too Conservative?, Journal of Trading 11(1), 6-12. [Lead Paper]

M. Chaudhury, 2015, Option Bid-Ask Spread and Liquidity, Journal of Trading 10(3), 44-56. [Summer 2015 special issue on liquidity] http://people.mcgill.ca/files/mohammed.chaudhury/OptionBidAskSpreadAug31... [Citations include R Grover and S Thomas, 2012, Liquidity Considerations in Estimating Implied Volatility, Journal of Futures Markets 32(8), 714-741; Wu et al, 2014, Hedging costs, liquidity, and inventory management: The evidence from option market makers, Journal of Financial Markets 18, 25-48; Book: Y Hilpisch, 2015, Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging (Wiley)]

M. Chaudhury, 2014, How Did the Financial Crisis Affect Daily Stock Returns?, Journal of Investing 23(3), 65-84.

M. Chaudhury, 2010, A Review of the Key Issues in Operational Risk Capital Modeling, the Journal of Operational Risk 5(3), 37-66. [ Cited in Wo-Chiang Lee and Chiang-Jye Fang, 2010, The measurement of capital for operational risk in Taiwanese commercial banks, The Journal of Operational Risk 5(2), 79-102; CJ Fang, 2012, The Empirical Research of Measurement on Liquidity Risk, Operational Risk and Sovereign Risk, Dissertation, Airiti Library; 2011 Operational Risk Reading of the Global Association of Risk Professionals (GARP)]

http://www.gocharter.com.tw/download/2011FRM_StudyGuide.pdf]

http://www.garp.org/media/846586/frm_exam_preparation_handbook.pdf

https://www.youtube.com/watch?v=bnwkGRtFLUI

 

G. Capelle-Blancard and M. Chaudhury, 2007, Price Clustering in the CAC 40 Index Options Market, Applied Financial Economics. 17(15), 1201-1210. [Cited in Owain ap Gwilym and Thanos Verousis, 2013, Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level, Journal of Futures Markets 33(1), 55-76; P Narayan and R Smyth, 2013, Has political instability contributed to price clustering on Fiji's stock market?, Journal of Asian Economics 28, 125-130; R Brooks, E Harris and Y Joymungul, 2013, Price clustering in Australian water markets, Applied Economics 45(6), 677-685]

 

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. [Cited in Edward Gottesman, 2008, Credit Crisis 101 (or what happened to “free and clear”?), World Economics 9(3), 47-72; 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.

 

Awards, honours, and fellowships: 

Awards

1980/81: University of Waterloo Graduate Scholarship

Fellowships

1984: Simon Fraser University Graduate Research Fellowship

Interviews: 

 

2016      Interviewed by Kazi Alam Babu, Bangla Mail, Topic: Why Canadian Dollar is Falling?

2015      Interviewed by Ross Marowits, Canadian Press

Topic: Current State and Future Prospects of Montreal Real Estate Market

2015      Interviewed by Luis Fajardo, BBC Mundo, the Spanish language news website of the BBC World Service.

Topic: Potential impact on the Greek economy if the country leaves the Eurozone

2015         Interviewed by Mr. Julien Brault (Les Affaires), Topic: How online lending hubs (e.g., Lending Club) could impact the consumer/personal finance market

2013         Interviewed by Yan Barcelo (Finance and Investments), Topic: Why Risk is Managed So Vigorously These Days?

2013         Interviewed by Yan Barcelo (Finance and Investments), Topic: Can 2008/09 Type of Derivatives Related Debacle Happen Again?

2012         Interviewed by Yan Barcelo (Finance and Investments), Topic: The World of Derivatives: Present and Future

2011          Interviewed by Yan Barcelo (Finance and Investments), Topic: Will the Dodd-Frank (US) Financial Reform Bill Do the Job?

2010         Served as a member of the Judges Panel for the Desher Alo (Montreal Community Newspaper) 2010 Student of the Year Awards

2010         Interviewed by Yan Barcelo (Finance and Investments), Topic: Current Status and Future Dynamics of Global Banking

2010         Interviewed by Heather Loney (Canwest Broadcasting), Topic: Why Montrealers are Confident about Economic Outlook

2010         Interviewed by Jay Bryan (Montreal Gazette), Topic: The Impact of Greek Debt Crisis on Greece, other European Countries, and

                  Canada 

http://www.montrealgazette.com/business/Debt+default+Greece+would+underm...

2010         Interviewed by Maxim Bergeron (La Press), Topic: Potential Impact of Mortgage Rate Hike on Borrowers

2010         Interviewed by Maxim Bergeron (La Press), Topic: Potential Impact of New Mortgage Lending Rules on Bank Lending Practices

2010         Interviewed by Sheila McGovern (Montreal Gazette), Topic: Strong Housing Price Starts in Canada and the Prospects for a Housing Bubble

2009         Interviewed by Leonie Laflamme-Savoie, Finance et Investissement, Topic: Impact of the US Treasury Legacy Plan on the economy

2009         Interviewed by Jay Bryan (Montreal Gazette), and Rudy Lecours (La Presse), Topic: US Treasury Legacy Plan for toxic mortgage assets of the banks

2009         Interviewed by Yan Barcelo (Finance and Investments), Topic: Role of derivatives in the current banking crisis.

2009         Interviewed by Vincent Brousseau-Pouliot (La Presse) and by Elysia Bryan-Baynes (Global TV News), Topic: Effect of the lower bank rate on variable and fixed rate mortgages and the effect on real estate prices in Montreal

2009         Interviewed by Jay Bryan (Montreal Gazette), Berry McKenna (Globe and Mail, http://www.theglobeandmail.com/report-on-business/article9726.ece), and Rudy Lecours (La Presse), Topic: President Obama’s Housing Assistance Plan

2008         Interviewed by Yan Barcelo (Finance and Investments), Topic: Credit Derivatives

2007         Interviewed by Jacquie McNish and Kevin O'Leary (Report on Business TV, Canadian equivalent of CNBC) at about 5:40

                  PM,    Friday, March 09, 2007, on the issue of option backdating and corporate governance in general in Canada.

Interviewed by Sandra Janssen (CTV Newsnet, News Channel of CTV, a major TV network of Canada) on the resignation of Jim Balsillie as the

Chairman of the Board of Directors of Research in Motion, the maker of Blackberry, following an internal review of the company’s stock option granting practice. Date of Interview: March 05, 2007, 7:35 PM.

2006         Interviewed by Bangla TV Program (Global TV, Montreal, Canada) on the subject of 2006 Nobel Peace Prize to Dr. M Yunus and Grameen  Bank; Date of Interview: October 17, 2006

Conferences: 

2016         Member, Program Committee, World Finance Conference

2015         Member, Program Committee, World Finance Conference

2015         Presented paper to the 2015 Financial Management Association Meetings in Orlando, Florida

2014         Member, Program Committee, FMA Asian Conference 2015 in Seoul, South Korea

2014         Member, Program Committee, FMA European Conference 2015 in Venice, Italy

2013         Member, Program Committee, FMA Asian Conference 2014 in Tokyo, Japan.

2013         Member, Program Committee, FMA European Conference 2014 in Maastricht, The Netherlands

2013         Member, Program Committee, FMA Asian Conference 2013 in Shanghai, China.

2013         Member, Program Committee, FMA European Conference 2013 in Luxembourg.

2013         Presented paper to the 2013 Financial Management Association Meetings in Chicago, Illinois

2012         Member, Program Committee, FMA European Conference 2012 in Istanbul, Turley.

2012         Member, Program Committee, FMA Asian Conference 2012 in Phuket, Thailand.

2011          Presented paper to the 2011 Asia Pacific Association of Derivatives Meetings in Busan, South Korea.

2010         Presented paper to the 2010 Financial Management Association Meetings in New York, New York

2010         Member, Program Committee, 18th Annual (2010) Conference of Pacific Basin Finance, Economics, Accounting and Management

                  Association Meetings in Beijing, China

2009         Member, Program Committee, 17th Annual (2009) Conference of Pacific Basin Finance, Economics, Accounting and Management

                  Association Meetings in Bangkok, Thailand

2009         Chaired a session and presented a paper at the 17th Annual Conference of Pacific Basin Finance, Economics, Accounting and Management

                  Association Meetings in Bangkok, Thailand

2009         Member, Program Committee, 2009 Financial Management Association Meetings in Reno, Nevada

2009         Participated in the 2009 Market Risk Roundtable and Counterparty Risk Round Table of the Risk Management Association,

                  New York City, New York, and presented a talk on Risk Education and Research

2008         Participated in the 2008 Market Risk Roundtable of the Risk Management Association, Toronto, Ontario.

2007         Participated in the 2007 Market Risk Roundtable of the Risk Management Association, Boca Raton, Florida.

2007         Attended the 2007 Financial Management Association Meeting, Orlando, Florida.

2006         Presented paper to the French Finance Association 2006 Meetings, Poitiers, France.

2004         Presented paper to the Asian Finance Association 2004 Meetings, Taipei, Taiwan.

2001         Attended the Financial Management Association 2001 Meetings, Toronto.

2001         Presented paper to the Asia Pacific Finance Association 2001 Meetings, Bangkok.

2001         Discussed paper at the Asia Pacific Finance Association 2001 Meetings, Bangkok.

        Attended the Pacific Basin Finance, Economics and Accounting Conference, Bangkok.

1999          Attended the American Finance Association 1999 Meetings in New York, New York.

        Attended the Canadian Economic Association 1999 Meetings in Toronto, Ontario.

        Attended the Canadian Centre for Management Development 1999 Conference, Ottawa

        Attended the Financial Management Association 1999 Meetings, Orlando, Florida

1999          Attended the CIRANO Intertemporal Asset Pricing Conference, Montreal, Quebec

1997          Attended the Southwest Finance Association 1997 Meetings in New Orleans, Louisiana.

1996          Discussant for a paper at the Financial Management Association 1996 Meetings held in New Orleans, Louisiana.

1996          Attended the American Finance Association 1996 Meetings held in San Francisco.

1994          Attended the European Finance Association 1994 Meetings held in Brussels, Belgium.

Attended the Financial Management Association 1993 Meetings held in Toronto, Ontario.

1988         Discussant for a paper at the Administrative Sciences Association of Canada 1988 Meetings held in Halifax, Nova Scotia.

1987          Chairperson for a session at the Eastern Finance Association 1987 Meetings held in Baltimore, Maryland. Discussant for a paper.

1987          Discussant for a paper at the Administrative Sciences Association of Canada 1987 Meetings held in Toronto, Ontario.