Faculty – Anurag Gupta

AnuragGupta - Professor, Banking and Finance
Anurag GuptaH. Clark Ford Professor
Associate Dean for Global Initiatives
Faculty Director, MSM-FIN, Shanghai
Department Chair, Banking and Finance
Professor, Banking and Finance

axg77@case.edu
216.368.2938
Peter B. Lewis Building 361
Office Hours: By Appointment Only

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. Gupta 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.

PhD, New York University, Stern School of Business, 1999
MBA, IIM Calcutta, 1992
BS, IIT Delhi, 1990

Initially Appointed: 1999

Interests and Courses

Research

Derivatives

Risk Modeling

Corporate Risk Strategy

Credit Risk

Banking

Financial Regulation

Securitization

Environmental Risk Assessments

Liquidity Risk

Securitization and Syndicated Loans

Teaching

Corporate Risk Management

Quantitative Risk Modeling

Derivatives

Banking

Valuation

Corporate Finance

Recent Courses and Syllabi

Course evaluation ratings (login required)

Selected Publications

  • Deuskar, P., Gupta, A., Subrahmanyam, M. G. (2011).
    Liquidity Effect in OTC Option Markets: Premium or Discount? (vol. 14, pp. 127-160). Journal of Financial Markets.
  • 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.

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

  • Associate Dean, Associate Dean, Global Initiatives, 2013 - Present
  • Committee Member, International Affairs Advisory Council, 2013 - Present
  • Director, Director, MSM Finance Program, Shanghai, 2011 - Present
  • Committee Member, Appointments Committee, 2011 - Present
  • Department Chair, 2011 - Present
  • Director, Director, International Finance Programs, 2010 - 2013
  • Committee Member, Weatherhead Mentoring Committee, 2010 - 2011
  • Committee Member, Institutions Developing Excellence in Academic Leadership (IDEAL), 2010 - 2011
  • Committee Member, MSM Finance (Cleveland) Committee, 2007 - Present
  • Committee Member, Weatherhead Faculty Council, 2004 - 2006
  • Regional Co-Director, Global Association of Risk Professionals, 2003 - 2012