Aparna Gupta, Rensselaer Lally School of Management associate professor of quantitative finance and risk management, has been invited, following a rigorous selection process, to join the U.S. Securities and Exchange Commission in its Division of Economic and Risk Analysis (DERA) as a visiting researcher.
The SEC DERA serves as the think tank of the commission, integrating financial economics and rigorous data analytics into its core mission. During her time at the SEC, Gupta will work on several projects, contributing to or leading the efforts of the Office of Research and Data Services’ Analytics group. She will work on developing a multi-layer network architecture for risk dependencies of different assets and market players that determine the market quality and trading activity for specific asset classes.
Gupta also will contribute to enhancing text analytics-based risk metrics developed based on various filings to the SEC. Gupta’s work will support the due diligence behind the examination and enforcement roles of the commission.
“The Division of Economic and Risk Analysis has a vibrant work environment, with researchers and visitors from different disciplines contributing to the division’s objectives,” says Gupta.
Gupta has developed and taught courses in financial engineering and quantitative methods in finance at the undergraduate and the graduate level at Rensselaer for more than 15 years. She also teaches courses in quantitative finance in the Lally School’s international initiatives, specifically with industry and academic partners in China, Singapore, and India.
“Studying quantitative methodologies and new developments in the quantitative disciplines, and how they can be applied to address the challenges in finance and risk management, has become more important than ever, given the large amounts of data and complexity of financial systems today,” says Gupta.
A National Science Foundation New Century Scholar (2002), Gupta, in her research, addresses issues in risk assessment and management for different financial institutions and for different market participants. Her most recent work is devoted to developing network representations of interconnectedness of financial institutions and asset prices, to determine the impact of spill-over risks and contagion. At the institutional level, Gupta also has been interested in developing enterprise risk management strategies and analyzing incentives for risk management.
Gupta conducts National Science Foundation-funded research in financial innovation for risk management in technology-enabled, network-based services in Internet, wireless communication, and energy systems. Her most recent NSF grant is for developing text analytics-based risk metrics for financial services firms. Gupta is the author of a book on risk management and simulation, and her work has been published in leading quantitative finance, operations research, and technology-oriented publications. She is a member of the International Association of Quantitative Finance, the American Finance Association, and the Institute for Operations Research and Management Science.