Aparna Gupta

Rensselaer Polytechnic Institute (RPI)

Troy, NY 12180

United States

SCHOLARLY PAPERS

13

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1,743

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (13)

1.

Cross Hedging Strategies for Solar Energy Production using Weather Derivatives

Number of pages: 29 Posted: 15 Aug 2015 Last Revised: 27 Apr 2016
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute and Rensselaer Polytechnic Institute (RPI)
Downloads 562 (67,664)
Citation 1

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Solar energy, risk management, natural hedge, cross hedge, weather derivatives, locational basis risk

2.

When Positive Sentiment is Not so Positive: Textual Analytics and Bank Failures

Number of pages: 43 Posted: 03 May 2016 Last Revised: 12 May 2022
Aparna Gupta, Cheng Lu, Majeed Simaan and Mohammed Zaki
Rensselaer Polytechnic Institute (RPI), Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Rensselaer Polytechnic Institute (RPI)
Downloads 251 (166,917)

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Risk Management, Machine Learning, Interpretability, Predictive Analytics

3.

Identifying the Risk Culture of Banks Using Machine Learning

Number of pages: 58 Posted: 24 Aug 2019 Last Revised: 24 Apr 2020
Aparna Gupta and Abena Owusu
Rensselaer Polytechnic Institute (RPI) and Rensselaer Polytechnic Institute (RPI)
Downloads 211 (196,790)
Citation 1

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Risk culture, machine learning, text mining, cluster analysis

4.

Filtering for Risk Assessment of Interbank Network

European Journal of Operational Research, DOI: 10.1016/j.ejor.2019.06.049
Number of pages: 32 Posted: 14 Mar 2016 Last Revised: 29 Jun 2019
Majeed Simaan, Aparna Gupta and Koushik Kar
Stevens Institute of Technology - School of Business, Rensselaer Polytechnic Institute (RPI) and Rensselaer Polytechnic Institute (RPI)
Downloads 155 (257,307)
Citation 1

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OR in Banking, Financial Networks, Liquidity Risk Management, Systemic Risk, Hidden Markov Models

5.

Design and Pricing of Derivative Contracts in a Spectrum Market

Number of pages: 36 Posted: 14 Aug 2013
Aparna Gupta, Koushik Kar and Praveen Muthuswamy
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute and Rensselaer Polytechnic Institute (RPI)
Downloads 103 (347,863)

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Financial Innovation, Derivative Instruments, Derivative Pricing Models, Fractional Brownian Motion

6.

Identifying Board of Director Network Influence for Firm Characteristics

Number of pages: 34 Posted: 14 Jan 2019 Last Revised: 28 Mar 2019
Aparna Gupta, Abena Owusu and Lei Zou
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI) and Rensselaer Polytechnic Institute (RPI)
Downloads 98 (359,375)

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network analysis, multiplex network, board of director, firm characteristics

7.

Optimal Hedging Strategy for Risk Management on a Network

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 39 Posted: 17 Sep 2011 Last Revised: 12 Aug 2015
Tianjiao Gao, Aparna Gupta and Nalan Gulpinar
Rensselaer Polytechnic Institute (RPI), Rensselaer Polytechnic Institute (RPI) and University of Warwick - Warwick Business School
Downloads 85 (392,468)
Citation 1

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Risk management, Hedge, Network, Optimal hedging strategy

8.

Addressing Systemic Risk Using Contingent Convertible Debt — A Network Analysis

Number of pages: 46 Posted: 24 Jan 2019
Aparna Gupta, Yueliang (Jacques) Lu and Runzu Wang
Rensselaer Polytechnic Institute (RPI), University of North Carolina (UNC) at Charlotte - Finance and University of Oklahoma - Division of Finance
Downloads 83 (397,968)
Citation 3

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Contingent Convertible Debt, Network Model, Systemic Risk, 13-F Filing

9.

Risk Dependencies and Interactions in the Energy Market

Number of pages: 35 Posted: 23 Jan 2017
Runzu Wang and Aparna Gupta
University of Oklahoma - Division of Finance and Rensselaer Polytechnic Institute (RPI)
Downloads 66 (451,419)
Citation 1

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10.

Explanatory Co-Movement in Asset Prices with Minimal Dependence Structures

Number of pages: 47 Posted: 01 Feb 2015
Banco Central do Brasil and Rensselaer Polytechnic Institute (RPI)
Downloads 59 (477,179)
Citation 2

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asset price dynamics, non-stationarity, network structures, correlation dynamics

11.

Designing Risk-free Service for Renewable Wind and Solar Resources

Number of pages: 37 Posted: 02 Nov 2021
Aparna Gupta and Sai Palepu
Rensselaer Polytechnic Institute (RPI) and Rensselaer Polytechnic Institute
Downloads 30 (616,009)

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Renewable generation risk, risk-free tranche, pricing framework

12.

Multivariate Jump Diffusion Model with Markovian Contagion

Number of pages: 36 Posted: 28 Jul 2017
Banco Central do Brasil and Rensselaer Polytechnic Institute (RPI)
Downloads 26 (641,970)
Citation 1

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asset prices, jump diffusion, jump correlation, contagion dynamics, network analysis

13.

Risk Assessment based on the Analysis of the Impact of Contagion Flow

Journal of Banking & Finance, Volume 60, 2015, pp. 209-223.
Number of pages: 42 Posted: 15 May 2021
Chanaka Edirisinghe, Aparna Gupta and Wendy Roth
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Rensselaer Polytechnic Institute (RPI) and Georgia State University - J. Mack Robinson College of Business
Downloads 14 (732,645)

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Contagion, Bond Defaults, Factor Models, Firm-Level Risk Assessment