The Parallel Risk Management (prism) project won the Skoch Challenger Award for innovative ICT initiatives, February 2004.
Ajay Shah, Susan Thomas, and Michael Gorham. India’s Financial Markets: An Insider’s Guide to How the Markets Work. Elsevier, October 2008
Ajay Shah and Ila Patnaik. Foreign shareholding: A decomposition analysis. Applied Financial Economics, 21(10):743–746, 2011
Ila Patnaik, Ajay Shah, and Rudrani Bhattacharya. Export versus FDI in services. World Economy, 2011 (forthcoming)
Ajay Shah and Syed Abuzar Moonis. Testing for time variation in beta in India. Journal of Emerging Markets Finance, 2(2):163–180, May–August 2003 [pdf]
Mandira Sarma, Susan Thomas, and Ajay Shah. Selection of Value at Risk models. Journal of Forecasting, 22(4):337–358, 2003 [pdf]
Susan Thomas and Ajay Shah. The stock market response to the Union Budget. Economic and Political Weekly, XXXVII(5):455–458, February 2–8 2002 [pdf]
Ajay Shah and Susan Thomas. David and Goliath: Displacing a primary market. Journal of Global Financial Markets, 1(1):14–21, Spring 2000 [pdf]
Ajay Shah and Susan Thomas. Market microstructure considerations in index construction. In CBOT Research Symposium Proceedings, pages 173–193. Chicago Board of Trade, Summer 1998 [pdf]
Raghuram Rajan and Ajay Shah. New directions in Indian financial sector policy. In Priya Basu, editor, India’s financial sector: Recent reforms, future challenges, chapter 4, pages 54–87. Macmillan, 2005 [pdf]
Ajay Shah. Market efficiency on the Indian equity derivatives market. In Susan Thomas, editor, Derivatives markets in India 2003, chapter 5, pages 99–119. Tata McGraw–Hill, 2003
Ajay Shah and Susan Thomas. Policy issues in Indian securities markets. In Anne Krueger and Sajjid Z. Chinoy, editors, Reforming India’s External, Financial and Fiscal Policies, Stanford Studies in International Economics and Development, chapter 4, pages 129–147. Stanford University Press, 2003 [pdf]
Ajay Shah and Susan Thomas. Securities market efficiency. In James A. Hanson, Patrick Honohan, and Giovanni Majnoni, editors, Globalization and national financial systems, chapter 6, pages 145–175. The World Bank and Oxford University Press, 2003 [pdf]
Ajay Shah and Kshama Fernandes. The relevance of index funds for pension investment in equities. In Robert Holzmann and Joseph Stiglitz, editors, New Ideas About Old Age Security: Toward Sustainable Pension Systems in the 21st Century. World Bank, January 2001 [pdf]
Ajay Shah and Susan Thomas. Developing the Indian capital market. In James A. Hanson and Sanjay Kathuria, editors, India: A financial sector for the Twenty–first century, chapter 7, pages 205–265. Oxford University Press, 1999
Ajay Shah and Susan Thomas. Securities markets. In Kirit S. Parikh, editor, India Development Report 1997, chapter 10, pages 167–192. Oxford University Press, February 1997
Ajay Shah. Black, Merton and Scholes: Their work and its consequences. Economic and Political Weekly, XXXII(52):3337–3342, December 1997 [pdf]
Ajay Shah. Securities markets. In Kaushik Basu, editor, The Oxford Companion to Economics in India, pages 467–471. Oxford, 2007
Susan Thomas and Ajay Shah. Stock market indexes. In Kaushik Basu, editor, The Oxford Companion to Economics in India, pages 503–504. Oxford, 2007
Chairman, Department of Posts Expert Committee on Role of Post Offices in Financial Inclusion, December 2009.
Member, Forward Markets Commission Risk management group, 2005–2007.
Board of directors, National Securities Clearing Corporation, 1997–.
Board of directors, Clearing Corporation of India Ltd., 2001–.
Board of directors, National Commodity Derivatives Exchange, 2003-2005.
Board of directors, Deposit Insurance and Credit Guarantee Corporation., 2000–2005.
Member, RBI Technical advisory committee on the money and government securities markets, 1999-2001.
Member, RBI Advisory group on reforms in deposit insurance in India, Chaired by Jagdish Capoor, 1999.
Member, RBI Technical group on the repo market, 1999.
Member, RBI Group on Securities Clearing Corporation, 1999.
Member, SEBI Risk management group, 2002–2005.
Member, SEBI’s Secondary markets advisory committee, 2002–2004.
Member, SEBI’s L. C. Gupta Committee on Policy for Derivatives (1996).
Member, Executive Committee, National Securities Depository Ltd., 1996-2008
Member, Investment Committee for Endowment Fund, IIT, Bombay., 1999-2000.
Project which led to the creation of the NSE-50 index, funded by US AID (with Susan Thomas). [pdf]
Creation of NSE MIBOR, the methodology for reference rates on the inter-bank call money market, 1998. [pdf]
Research project: Parallel Risk Management (prism): Risk containment in real–time using using Value at Risk, using parallel computation, for National Securities Clearing Corporation (NSCC), December 1998 (with Susan Thomas).