Faculty - Anurag Gupta

Faculty Director, MSM-FIN, Shanghai
Department Chair, Banking and Finance
Professor, Banking and Finance

Ph.D., New York University, 1999
M.B.A., IIM Calcutta, 1992
B.S., IIT Delhi, 1990

Anurag Gupta’s research develops models for examining a variety of fixed income derivatives to examine pricing and hedging performance. The result has been precise recommendations for the appropriate models that should be used for particular options in different markets. Anurag has also researched the effects of illiquidity in financial markets, showing in one study that illiquidity can actually increase the price of fixed income options. He has also examines the relationship between liquidity risk and credit risk using data from the syndicated loan market.

He is currently working on several banking, credit risk, and environmental risk related projects.

Interests

Teaching

Corporate Risk Management
Green Finance
Derivatives
Banking
Corporate Finance

Research

Derivatives Modeling
Risk Estimation and Management
Credit Risk
Banking
Securitization
Environmental Risk Assessments
Liquidity Risk
Securitization and Syndicated Loans

Selected Publications

• Berndt, A., Gupta, A. (2010). In Robert Kolb (Ed.), The Pitfalls of Originate-to-Distribute in Bank Lending John Wiley & Sons.
• Berndt, A., Gupta, A., , . (2009). Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit (vol. 56, issue 5, pp. 725-743). Journal of Monetary Economics.
• Deuskar, P., Gupta, A., Subrahmanyam, M. G. (2008). The Economic Determinants of Interest Rate Option Smiles (vol. 32, issue 5, pp. 714-728). Journal of Banking and Finance.
• Gupta, A., Singh, A., Zebedee, A. (2008). Liquidity in the Pricing of Syndicated Loans (vol. 11, 2008, pp. 339-376). Journal of Financial Markets.
• Deuskar, P., Gupta, A., Subrahmanyam, M. G. Liquidity Effect in OTC Option Markets: Premium or Discount? (vol. 14, pp. 127-160). Journal of Financial Markets.

Presentations

• Gupta, A. (Presenter & Author) Alumni Panel Discussion, "The Pitfalls of Managing Risk at the Corporate Level", Weatherhead School of Management, Cleveland, OH. (2010).
• Gupta, A. (Presenter Only) Federal Reserve Conference on Countercyclical Capital, "Paper Discussion", Cleveland Federal Reserve Bank, Cleveland, OH. (2010).
• Gupta, A. (Presenter & Author) Tongji University, "The Pitfalls of Managing Risk at the Corporate Level", Tongji University, Shanghai, China. (2010).
• Gupta, A. (Presenter & Author) Tongji University GARP Chapter Launch, "Global Risk Issues and Talent Needs in a Post Crisis World", Weatherhead / Tongji University, Shanghai, China. (2010).
• Gupta, A. (Presenter & Author) 16th Mitsui Finance Symposium, "Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit", University of Michigan, Ann Arbor. (2009).
• Gupta, A. (Presenter & Author) Fifth Annual Melbourne Derivatives Research Group Conference, "Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit", University of Melbourne, Melbourne, Australia. (2009).
• Gupta, A. (Presenter & Author) The Future of the Originate-to-Distribute Model of Bank Credit, "OTD Model of Bank Credit: Benefits and Pitfalls", IFMR, India, Mumbai, India. (2009).
• Gupta, A. (Presenter & Author) University of Massachusetts, Amherst, "Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit", University of Massachusetts, Amherst, Amherst, MA. (2009).
• Gupta, A. (Presenter & Author) The Federal Reserve Bank of Cleveland, "Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit", The Federal Reserve Bank of Cleveland, Cleveland. (2009).
• Gupta, A. (Presenter & Author) Carnegie-Rochester-JME Conference on Public Policy, "Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit", Carnegie Mellon University, CMU, Pittsburgh. (2008).
• Gupta, A. (Presenter & Author) International Conference on Price, Liquidity and Credit Risks, "Liquidity Effect in OTC Option Markets: Premium or Discount?", University of Konstanz, Konstanz, Germany. (2008).

Academic and Professional Activities

• Director, Director, MSM Finance Program, Shanghai, 2011 - Present
• Committee Member, Appointments Committee, 2011 - Present
• Director, Director, International Finance Programs, 2010 - Present
• Committee Member, Weatherhead Mentoring Committee, 2010 - 2011
• Committee Member, Institutions Developing Excellence in Academic Leadership (IDEAL), 2010 - 2011
• Committee Member, MS Finance Admissions Committee, 2007 - Present
• Committee Member, Weatherhead Faculty Council, 2004 - 2006
• Regional Co-Director, Global Association of Risk Professionals, 2003 - 2012