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Akhtarur Siddique

Deputy Director
Enterprise Risk and Analysis Division

(202) 649-5550

Akhtar Siddique is the deputy director of the Enterprise Risk Analysis Division of the US Office of the Comptroller of the Currency (OCC).

Dr. Siddique has worked at the OCC since 2003. In addition to management duties in the division, Akhtar directly participates in examinations and intra- and interagency supervisory, capital rules, and policy initiatives. Over the years, these have spanned  stress testing, economic capital, valuation issues, ALLL, counter party credit risk, interest rate risk, trading and asset-management. He has represented the OCC on the Risk Measurement Group and Interaction of Market and Credit Risk Group of the Basel Committee on Banking Supervision. He has also represented the OCC on drafting of U.S. interagency rules and guidances relating to stress testing, Pillar 2, etc.

His research has spanned financial econometrics, asset pricing, corporate finance/accounting and numerical methods/optimization. He has authored several papers published in peer-reviewed journals including the Journal of Finance, the Review of Financial Studies, Management Science, Journal of Account­ing Research, Naval Research Logistics, etc. Most recently he co-edited a book Stress Testing: Approaches, Methods and Applications (Risk Books, 2013).

He holds a PhD in Finance from Duke University and taught finance at Georgetown University prior to joining the OCC.  

  1. Monitoring the "Invisible" Hand of Market Discipline: Capital Adequacy Revisited (with Iftekhar Hasan and Xian Sun) Journal of Banking and Finance, forthcoming.
  2. “What Drives Currency Predictability,” (with Valerio Poti), Journal of International Money and Finance, (2013),

  3. “Partial equilibrium in risk-based production decisions,” (with Bardia Kamrad and Ricardo Ernst) Naval Research Logistics, 59, 1-17, 2012.

  4. “A Reexamination of the Tradeoff Between the Future Benefit and Riskiness of R&D,” (with Allan Eberhart and William Maxwell), Journal of Accounting Research, March 2008.
  5. “Does the Stock Market Underreact to R&D Increases?” (with Allan Eberhart and William Maxwell), Journal of Investment Management, 3, 1-15, 2005.
  6. “A Valuation Framework for Advertising and Pricing Policies Under Stochasticity of Innovation Diffusion,” (with Bardia Kamrad, Shri Lele, and Robert Thomas), European Journal of Operations Research, 164, 829-850, 2005.
  7. “An Examination of Long-Term Abnormal Stock Return and Operating Performance Following R&D Increases,” (with Allan Eberhart and William Maxwell), Journal of Finance, 59, 623-650, 2004.
  8. “Estimation Risk, Complexity and Portfolio Selection: How Much do Investors Lose,” (with Iftekhar Hasan and Yusif Simaan), Research in Banking and Finance, 4, 363-399, 2004.
  9. “Risk Sharing, Switching Options and Contracts,” (with Bardia Karmrad), Management Science, 50, 64-82, 2004.
  10. “Common Asset Pricing Factors in Volatilities and Returns in Futures Markets,” Journal of Banking and Finance, 27, 2347-2368, 2003.
  11. The Measurement of Operating Performance Following Corporate Acquisitions: A Comparison of Event-Time to Calendar-Time Measures, (with Allan Eberhart), Finance Letters, 1, 4-7, 2003.
  12. “The Long-Term Performance of Corporate Bonds (and Stocks) Following Seasoned Equity Offerings,” (with Allan Eberhart), Review of Financial Studies, 15, 1385-1406, 2002.
  13. “Risk Sharing and Supplier Switching Contracts,” (with Bardia Kamrad) in Trigeorgis L. (ed.): Real Options, T4, Volume 5, Real Options Conference, Anderson School, UCLA, July 2001.
  14. “Conditional Skewness in Asset Pricing Tests,” (with Campbell Harvey), Journal of Finance, 55, 1263-1295, 2000.
  15. “Nonparametric Estimation of Mean and Variance and Pricing of Securities,” Revista de Analisis Economico, 15, 27-45, 2000.
  16. “Time-varying Conditional Skewness and the Market Risk Premium,” (with Campbell Harvey), Research in Banking and Finance, 1, 25-58, 2000.
  17. “Autoregressive Conditional Skewness,” (with Campbell Harvey), Journal of Financial and Quantitative Analysis, 34, 465-487,1999.
  18. “Forecasting Exchange Rates,” (with Richard Sweeney), Journal of International Money and Finance, 17, 63-70, 1998.
  1. Stress Testing: approaches, methods and applications, Co-edited with Iftekhar Hasan. Risk Books, London 2013.
  2. “Stress testing and other risk management tools,” in Stress Testing: approaches, methods and applications, Edited by Akhtar Siddique and Iftekhar Hasan. Risk Books, London 2013.
  3. “Stress testing for market risk,” in Stress Testing: approaches, methods and applications, Edited by Akhtar Siddique and Iftekhar Hasan. Risk Books, London 2013.
  4. “Counterparty Credit Risk and Other Risk- Coverage Measures,” in Basel III and Beyond, Edited By Francesco Cannata and Mario Quagliariello. Risk Books, London 2011.
  1. “Delinquencies and social capital: do stronger social networks deter consumer default” with Brian Clark, Iftekhar Hasan, Helen Lai and Feng Li.
  2. “Capital Adequacy Revisited: What Banks Tell Regulators versus What Markets Say” with Iftekhar Hasan and Sun Xian.
  3. “Do Share Repurchases Matter in the Long-Term?” with Allan Eberhart.
  4. “Using Machine Learning Algorithms to Predict Credit Card Default Rates” with Florentin Butaru, Qingqing Chen, Brian Clark, Sanmay Das and Andrew Lo.
  5. “Rating Agency Conservatism and Rating Bias” with Nazmul Hasan and Nikunj Kapadia.