Arun Gupta

Machine Learning and AI for Finance

• Agentic AI for Credit Risk (work in progress) Summary
  Building a multi-agent system in Python that automates risk analysis for large credit and bond portfolios. The agents autonomously generate cash-flow projections, estimate tail risk, and produce standardized, easy-to-use risk reports.

Financial Intermediation, Financial Crises, and Macroeconomic Effects:

• Producing Information on Local Economic Outcomes: Evidence from Costly Internal Capital Allocations by Financial Intermediaries (with H. Sapriza)

R&R at the Journal of Money Credit and Banking. Paper
Banks often have private information about borrower conditions that markets do not fully observe. We show that costly bank actions during crises reveal this information, which can be extracted into a predictive signal that significantly improves forecasts of macroeconomic outcomes.

• The Collateral Channel and Bank Credit (with H. Sapriza, V. Yankov)

Working Paper. Paper

Provides causal evidence that asset price booms contribute to economic booms, as increases in collateral values significantly expand credit capacity and investment by corporations. Specifically, a 1 dollar rise in collateral values causes a 6 cent increase in future credit and a 3 cent increase in future capital expenditures.

• The Usability of Bank Capital Buffers and Credit Supply at SMEs during the Pandemic (with J. Berrospide and M. Seay)

International Journal of Central Banking (IJCB) 2024 Vol 20 No 3 Paper

We show causal evidence that capital regulation backfired during COVID. Poorly designed regulation caused banks to curtail business credit 10% more than otherwise warranted by the Covid recession (further leading to 2% slower employment growth in affected areas), adding salt to the economic wound.

• A Natural, yet Imperfect Hedge for Interest Rate Risk: Estimating the Value of Deposit Franchise. Working Paper. R&R at the Journal of Financial Stability SSRN

I show direct empirical evidence that markets price in deposit franchise (worth on the order of $1 trillion USD) when valuing bank equities, and quantify how imperfect this deposit franchise is as an interest rate hedging tool.

• Measuring Global Bank Complexity (with Linda Goldberg and Nicola Cetorelli), FRBNY Liberty Street Economics, 2014. Link

Addressing the macro-prudential concerns of the growing “complexity” of global financial institutions, we look present comprehensive data analyses on various metrics for measuring the “business line”, “geographical”, and "organizational” complexity of the largest financial intermediaries.

• Ring-Fencing and “Financial Protectionism” in International Banking (with Linda Goldberg), FRBNY Liberty Street Economics, 2013. Link

We discuss recent policy and regulatory efforts to induce banks to shift away from global activity, including ring-fencing of domestic banking operations, other forms of financial protectionism, and enhanced oversight and prudential measures.

Alternative Investments

• The Performance of Private Equity: Evidence from Confidential Filings 

The Journal of Private Markets Investing, Spring 2026, Volume 24 Issue 3 pg. 90 - 116. Publication  Snapshot
Using novel data, I show that (1) larger PE funds systematically outperform, (2) industry-diversified funds deliver lower returns but superior reward-to-risk ratios, and (3) leveraged buyouts do not yield excess return premia.