Arun Gupta

About Arun Gupta

Focus: Nowcasting / Forecasting, Quant Research and Modeling, Machine Learning & Agentic AII specialize in quantitative modeling and have extensive coding experience. My background spans six years at the Federal Reserve, as well as a PhD in Finance paired with an undergraduate degree in computer science. Using Python and Stata, I work with very large datasets for the purpose of tracking macro trends, nowcasting, and forming return and risk projections for the positioning data and trading books of financial institutions. These confidential datasets represent the proprietary positions in fixed income, FX, and equities held by the largest banks (a portfolio totaling ~$4 trillion dollars of individual positions).I also possess strong communication skills, having regularly presented analytical insights to Federal Reserve Governors and academic/practitioner audiences internationally.Skill set:Tools• Coding / Apps: Python, Stata, Matlab, MS Office (Word, Excel, Powerpoint)• Languages: English, Hindi• Macro/Finance datasets: o Macro: Bloomberg, IMF International Financial Statistics, BIS International Banking Statistics, Federal Reserve Economic Data o Fixed Income: Bloomberg, Mergent FISD, TRACE, Moody’s Investors Service, S&P Global, Dealscan, FR Y-14 o Equities: Bloomberg, Datastream International, Global Financial Data, CRSP o Derivatives: Bloomberg, CME, Ivy DB Optionmetrics o Corporate: SEC Edgar, Capital IQ, Compustat Global, Worldscope, Orbis, Bankscope o Alt Funds: Preqin, Pitchbook, Form ADV, Lipper TASSQuantitative Analysis• Macroeconomics and financial markets: monitoring market trends, performance, and risk• Machine learning, large language models, and agentic AI• Nowcasting / forecasting• Volatility and default modeling• Portfolio stress-testingCommunication Skills• Delivered technical briefings to Fed governors on credit conditions and macro outlook• Regularly simplified insights from quantitative models for policy decision-makers• Presented academic research at conferences internationally• Teaching assistant to Professor Robert Shiller’s Financial Markets Coursera course in 2016 (2.2 million online students enrollees till date)Research Papers: https://sites.google.com/site/arunguptaphd/home

Experience

1. Senior Economist (2022-present), Economist (2019-2022)

   Federal Reserve Board

   Apr 2019 — Present · Washington, DC, US

   Macro Nowcasting with Dealer Position DataI designed a dynamic factor model integrating dealer trading exposures (fixed income, FX, and equities) with high-frequency macro indicators to nowcast macro fundamentals in real time. Provided policymakers with forward-looking estimates of asset prices, inflation, and growth, improving scenario calibration for monetary policy and systemic risk discussions.• Portfolio Stress-testing under Macroeconomic Scenarios Using Stata and Python, I constructed firm-level cash flow models from granular regulatory data and assessed portfolio returns under macroeconomic scenarios, such as rate tightening, recessions, and sectoral shocks.• Agentic AI for Investment DataI am currently using CrewAI and LangChain python libraries to code a multi-agent system that automates financial performance and risk analysis. See research work for further detail.• Risks in Private CreditFor systemic risk surveillance, I analyzed how contractual features in private credit structures - such as mezzanine, unitranche, and NAV-based lending - respond to shifts in market volatility and borrower credit deterioration.• Regulatory CapitalUsing Python, I conducted panel econometric analyses using millions of corporate loan observations to assess the capital resilience of lenders under systemic downturns. Our group uses this tool to assess how Basel regulatory constraints impact optimal credit allocation and underwriting terms.

Education

• University of California, Berkeley

  Bachelor of Science - BS, Electrical Engineering and Computer Science

• Yale University

  Doctor of Philosophy (Ph.D.), Financial Economics

  2014 — 2019

• Carnegie Mellon University - Tepper School of Business

  MBA, Economics/Finance, University Honors

  2010 — 2012