Agostino Capponi

Columbia University - Department of Industrial Engineering and Operations Research

SCHOLARLY PAPERS

63

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267

CROSSREF CITATIONS

133

Scholarly Papers (63)

1.

Liquidity Provision on Blockchain-based Decentralized Exchanges

Number of pages: 90 Posted: 17 Mar 2021 Last Revised: 16 Jan 2024
Agostino Capponi and Ruizhe Jia
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 2,196 (13,012)

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Decentralized Finance (DeFi), Market Microstructure, automated market maker, tokenomics

2.

Large Orders in Small Markets: Execution with Endogenous Liquidity Supply

Number of pages: 52 Posted: 06 Feb 2019 Last Revised: 27 Mar 2024
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University - Department of Industrial Engineering and Operations Research, Vrije Universiteit Amsterdam and Columbia University
Downloads 1,272 (30,061)
Citation 4

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large orders, market making, liquidity supply, investors' welfare

3.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009
Damiano Brigo and Agostino Capponi
Imperial College London - Department of Mathematics and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 1,259 (30,519)
Citation 69

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Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk

4.

Personalized Robo-Advising: Enhancing Investment through Client Interactions

Forthcoming in Management Science
Number of pages: 54 Posted: 06 Nov 2019 Last Revised: 23 Dec 2020
Agostino Capponi, Sveinn Olafsson and Thaleia Zariphopoulou
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and University of Texas at Austin (Mathematics and IROM)
Downloads 916 (47,951)
Citation 5

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robo-advising, Fintech, portfolio choice, adaptive control, regret, human-advisor

5.

Disruption and Rerouting in Supply Chain Networks

Forthcoming in Operations Research
Number of pages: 71 Posted: 12 Sep 2020 Last Revised: 01 Nov 2022
John R. Birge, Agostino Capponi and Peng-Chu Chen
University of Chicago - Booth School of Business, Columbia University - Department of Industrial Engineering and Operations Research and The University of Hong Kong
Downloads 836 (54,401)
Citation 8

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supply chain networks, disruption risk, contingent rerouting, secondary markets, systemic risk.

6.

Maximal Extractable Value and Allocative Inefficiencies in Public Blockchains

Number of pages: 56 Posted: 21 Jan 2022 Last Revised: 15 Nov 2023
Agostino Capponi, Ruizhe Jia and Ye Wang
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and ETH Zürich - Department of Information Technology and Electrical Engineering
Downloads 812 (56,864)
Citation 3

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Allocative Efficiency; Market Design; Blockchain; Maximal Extractable Value; Private Pool

7.

Price Discovery on Decentralized Exchanges

Number of pages: 48 Posted: 17 Oct 2022 Last Revised: 07 Nov 2023
Agostino Capponi, Ruizhe Jia and Shihao Yu
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and Columbia University
Downloads 775 (60,408)
Citation 1

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price discovery, blockchain fees, decentralized exchanges, informed traders, private information

8.

Pitfalls of Bitcoin’s Proof-of-Work: R&D Arms Race and Mining Centralization

Number of pages: 44 Posted: 02 Nov 2018 Last Revised: 17 Jun 2021
Humoud Alsabah and Agostino Capponi
Kuwait University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 716 (66,909)
Citation 4

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Bitcoin, proof-of-work, mining, arms race, centralization

9.

Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Number of pages: 39 Posted: 20 Jan 2011
Imperial College London - Department of Mathematics, Columbia University - Department of Industrial Engineering and Operations Research, Intesa Sanpaolo and Barclays Capital
Downloads 714 (67,139)
Citation 39

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Counterparty Risk, Bilateral CVA, Collateral Management, Collateral Re-Hypothecation, Close-Out Amount, Margining Procedure, Netting Rules, Hybrid Products, Correlation, Risk Neutral Valuation, Default Risk, Interest Rate Models, Default Intensity Models

10.

A Continuous Time Framework for Sequential Goal-Based Wealth Management

Number of pages: 63 Posted: 03 Jun 2022 Last Revised: 16 Oct 2023
Agostino Capponi and Yuchong Zhang
Columbia University - Department of Industrial Engineering and Operations Research and University of Toronto - Department of Statistics
Downloads 702 (68,556)
Citation 1

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goal based wealth management, funding ratios, dynamic programming, consumption

Intraday Market Making with Overnight Inventory Costs

Journal of Financial Markets, Forthcoming
Number of pages: 65 Posted: 29 Sep 2016 Last Revised: 13 Apr 2020
International Monetary Fund, Columbia University - Department of Industrial Engineering and Operations Research, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 541 (94,258)
Citation 1

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inventory control, jump-driven stochastic control, market microstructure theory, market making

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 57 Posted: 25 Oct 2016
International Monetary Fund, Columbia University - Department of Industrial Engineering and Operations Research, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 157 (343,260)
Citation 8

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market microstructure theory, market liquidity, market making, financial intermediation

Intraday Market Making with Overnight Inventory Costs

CEPR Discussion Paper No. DP12245
Number of pages: 56 Posted: 29 Aug 2017
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University - Department of Industrial Engineering and Operations Research, Citadel LLC and Columbia University
Downloads 1 (1,161,303)
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Abstract:

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Financial Intermediation, market liquidity, market making, Market microstructure theory

12.

The Effect of Mortgage Forbearance on Refinancing: Evidence from the CARES Act

Number of pages: 45 Posted: 04 Jun 2020 Last Revised: 18 Oct 2022
Agostino Capponi, Ruizhe Jia and David Aaron Rios
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and Columbia University
Downloads 672 (72,542)
Citation 1

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Foreclosure, Refinancing, Mortgage Forbearance, Monetary Policy

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability

Columbia Business School Research Paper No. 17-45
Number of pages: 52 Posted: 14 Apr 2017 Last Revised: 02 Oct 2019
Benjamin Bernard, Agostino Capponi and Joseph E. Stiglitz
University of California, Los Angeles (UCLA) - Department of Economics, Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Columbia Business School, Finance
Downloads 579 (86,465)
Citation 3

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Systemic Risk, Bail-Ins, Bail-Outs, Credibility, Financial Stability

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability

NBER Working Paper No. w23747
Number of pages: 48 Posted: 06 Sep 2017 Last Revised: 22 May 2022
Benjamin Bernard, Agostino Capponi and Joseph E. Stiglitz
University of California, Los Angeles (UCLA) - Department of Economics, Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Columbia Business School, Finance
Downloads 46 (748,975)
Citation 7

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14.

Credit Default Swaps Liquidity Modeling: A Survey

Number of pages: 36 Posted: 05 Mar 2010 Last Revised: 12 Sep 2011
Damiano Brigo, Mirela Predescu and Agostino Capponi
Imperial College London - Department of Mathematics, BNP Paribas, London and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 566 (90,099)
Citation 6

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Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis

15.

Systemic Risk Driven Portfolio Selection

Number of pages: 52 Posted: 12 Jun 2019 Last Revised: 23 Aug 2021
Agostino Capponi and Alexey Rubtsov
Columbia University - Department of Industrial Engineering and Operations Research and Global Risk Institute
Downloads 480 (110,371)
Citation 1

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Systemic risk, Portfolio selection, Risk management, VaR, CoVaR, Risk-adjusted returns

16.

Firm Capital Dynamics in Centrally Cleared Markets

Mathematical Finance, Forthcoming
Number of pages: 41 Posted: 26 Dec 2014 Last Revised: 22 Aug 2019
Agostino Capponi, W. Cheng and Sriram Rajan
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Government of the United States of America - Office of Financial Research
Downloads 457 (116,957)
Citation 10

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Central Clearing, Financial Institutions, Firm Capital Dynamics, Bilateral CDS Exposures

17.

Systemic Portfolio Diversification

Number of pages: 55 Posted: 23 Mar 2019 Last Revised: 16 Jun 2023
Agostino Capponi and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research and National University of Singapore (NUS) - Department of Mathematics
Downloads 441 (121,947)

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systemic diversification, leverage, fire-sale externalities, aggregate vulnerability

18.

Clearinghouse Margin Requirements

Operations Research, Forthcoming
Number of pages: 70 Posted: 05 Oct 2015 Last Revised: 30 Jan 2018
Agostino Capponi and W. Cheng
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 437 (123,288)
Citation 2

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Margin requirements, central clearing, credit risk, market risk

19.

A Theory of Collateral Requirements for Central Counterparties

Management Science
Number of pages: 59 Posted: 03 Dec 2018 Last Revised: 06 Jul 2021
Jessie Jiaxu Wang, Agostino Capponi and Hongzhong Zhang
Arizona State University (ASU) - W.P. Carey School of Business, Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 421 (129,120)
Citation 1

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Central counterparty, collateral, initial margins, default funds, macro-prudential policy

20.

Liability Concentration and Systemic Losses in Financial Networks

Operations Research, Forthcoming
Number of pages: 33 Posted: 05 Jun 2016
Agostino Capponi, Peng-Chu Chen and David Yao
Columbia University - Department of Industrial Engineering and Operations Research, The University of Hong Kong and Columbia University
Downloads 413 (131,687)
Citation 14

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systemic risk, financial network, interbank liabilities, majorization

21.

Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices

Forthcoming, Journal of Financial Econometrics
Number of pages: 39 Posted: 06 Nov 2019 Last Revised: 23 Feb 2020
Kuwait University, Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 373 (147,747)
Citation 15

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robo-advising, reinforcement learning, portfolio selection, probably approximately correct-Markov decision processes (PAC-MDP)

22.

Systemic Risk Mitigation in Financial Networks

Forthcoming in Journal of Economic Dynamics and Control
Number of pages: 38 Posted: 16 Jul 2013 Last Revised: 05 Jun 2016
Agostino Capponi and Peng-Chu Chen
Columbia University - Department of Industrial Engineering and Operations Research and The University of Hong Kong
Downloads 364 (151,802)
Citation 10

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Systemic risk, mitigation strategies, clearing payments, financial networks

23.

Price Contagion Through Balance Sheet Linkages

Forthcoming in Review of Asset Pricing Studies
Number of pages: 26 Posted: 07 Jun 2015 Last Revised: 15 Jun 2015
Agostino Capponi and Martin Larsson
Columbia University - Department of Industrial Engineering and Operations Research and ETH Zürich - Department of Mathematics
Downloads 362 (152,723)
Citation 16

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systemic risk, price linkages, network stability, deleveraging

24.

Clearinghouse Default Waterfalls: Risk-Sharing, Incentives, and Systemic Risk

Number of pages: 39 Posted: 09 Mar 2017 Last Revised: 31 Aug 2017
Agostino Capponi, W. Cheng and Jay Sethuraman
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Downloads 354 (156,499)
Citation 2

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clearinghouses, risk-sharing, funding costs, default waterfall

25.

Risk Sensitive Asset Management and Cascading Defaults

Forthcoming, Mathematics of Operations Research
Number of pages: 35 Posted: 20 Apr 2016 Last Revised: 22 Feb 2017
John R. Birge, Lijun Bo and Agostino Capponi
University of Chicago - Booth School of Business, University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 353 (157,492)
Citation 2

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risk-sensitive control, cascading defaults, contagion, asset management

26.

Arbitrage-Free Pricing of XVA - Part I: Framework and Explicit Examples

Number of pages: 35 Posted: 24 Jan 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 346 (160,423)
Citation 4

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XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment

27.

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Mathematical Finance. Forthcoming
Number of pages: 39 Posted: 20 Oct 2013 Last Revised: 14 Feb 2014
Lijun Bo and Agostino Capponi
Xidian University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 345 (160,930)
Citation 4

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Credit Default Swaps, Contagion Risk, Interacting Default Intensities, Dynamic Portfolio Optimization

28.

Pricing and Mitigation of Counterparty Credit Exposures

Handbook of Systemic Risk, edited by J.-P. Fouque and J.Langsam. Cambridge University Press, 2012
Number of pages: 21 Posted: 12 Feb 2013
Agostino Capponi
Columbia University - Department of Industrial Engineering and Operations Research
Downloads 337 (164,978)

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counterparty risk, systemic risk, default contagion, credit valuation adjustment

29.

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?

Forthcoming in Management Science
Number of pages: 55 Posted: 29 Jun 2021 Last Revised: 30 Dec 2022
Agostino Capponi, Sveinn Olafsson and Humoud Alsabah
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and Kuwait University
Downloads 330 (168,845)
Citation 8

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proof of work, cryptocurrencies, mining technology, decentralization, rent-seeking game

30.

A Dynamic Network Model of Interbank Lending — Systemic Risk and Liquidity Provisioning

Mathematics of Operations Research. Forthcoming
Number of pages: 35 Posted: 30 Aug 2017 Last Revised: 21 Jun 2019
Agostino Capponi, Xu Sun and David Yao
Columbia University - Department of Industrial Engineering and Operations Research, University of Florida and Columbia University
Downloads 319 (175,036)
Citation 8

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Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics

31.

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 19 Oct 2017
Lijun Bo, Agostino Capponi and Peng-Chu Chen
University of Science and Technology of China (USTC), Columbia University - Department of Industrial Engineering and Operations Research and The University of Hong Kong
Downloads 293 (191,484)
Citation 2

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Fixed income investment, default decay, dynamic programming, parabolic PDEs

32.

Stress Testing Spillover Risk in Mutual Funds

Number of pages: 54 Posted: 21 Nov 2022 Last Revised: 24 Mar 2024
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 290 (193,548)
Citation 1

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mutual funds, liquidity mismatch, fire-sale externalities, first-mover incentive, systemic risk

33.

The Paradox of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Lead to Less Liquidity

Number of pages: 63 Posted: 07 Dec 2023 Last Revised: 05 Apr 2024
Agostino Capponi, Ruizhe Jia and Brian Zhu
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 285 (196,961)

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just-in-time liquidity, decentralized exchanges, liquidity provision, automated market making, market microstructure, high-frequency market making

34.

Systemic Risk in Interbanking Networks

SIAM Journal on Financial Mathematics. Forthcoming
Number of pages: 30 Posted: 03 Apr 2015 Last Revised: 15 Feb 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 265 (212,029)
Citation 1

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Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions

35.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 263 (214,452)
Citation 4

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mutual funds, first-mover advantage, swing price, fire sales, financial stability

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, 2009
Number of pages: 29 Posted: 19 Dec 2008 Last Revised: 08 Feb 2009
Agostino Capponi and Jaksa Cvitanic
Columbia University - Department of Industrial Engineering and Operations Research and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 259 (215,772)

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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, pp. 83-112, 2009
Posted: 02 Dec 2009
Agostino Capponi and Jaksa Cvitanic
Columbia University - Department of Industrial Engineering and Operations Research and California Institute of Technology - Division of the Humanities and Social Sciences

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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models

37.

Systemic Risk, Policies, and Data Needs

INFORMS Tutorials in Operations Research, Forthcoming
Number of pages: 23 Posted: 08 Jul 2016 Last Revised: 21 Jul 2016
Agostino Capponi
Columbia University - Department of Industrial Engineering and Operations Research
Downloads 254 (221,100)
Citation 7

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Systemic Risk, Policies, Counterparty Networks, Fire-Sales, Data Sharing

38.

Multiregional Oligopoly with Capacity Constraints

Forthcoming in Management Science
Number of pages: 47 Posted: 03 Dec 2018 Last Revised: 07 Jul 2020
Kuwait University, University of California, Los Angeles (UCLA) - Department of Economics, Columbia University - Department of Industrial Engineering and Operations Research, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Downloads 252 (222,910)

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Cournot competition, oligopoly, networks, capacity constraints, non-cooperative games, welfare

39.
Downloads 246 (228,214)

Swing Pricing: Theory and Evidence

Annual Review of Financial Economics, Vol. 15, pp. 617-640, 2023
Posted: 07 Nov 2023
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics

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Swing Pricing: Theory and Evidence

Forthcoming in the Annual Review of Financial Economics
Number of pages: 29 Posted: 27 Dec 2022 Last Revised: 28 Mar 2023
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 246 (227,148)

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mutual funds, liquidity transformation, fire sales, liquidity management

40.

Robust Optimization of Credit Portfolios

Mathematics of Operations Research, Forthcoming
Number of pages: 29 Posted: 18 Jan 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 242 (231,925)
Citation 1

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41.

Pricing Vulnerable Claims in a Lévy Driven Model

Finance and Stochastics, Forthcoming
Number of pages: 45 Posted: 18 Nov 2012 Last Revised: 15 Feb 2014
Agostino Capponi, Stefano Pagliarani and Tiziano Vargiolu
Columbia University - Department of Industrial Engineering and Operations Research, DEAMS, Università di Trieste and Department of Mathematics
Downloads 217 (257,394)
Citation 3

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default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function

42.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-83
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 29 Apr 2020
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University - Department of Industrial Engineering and Operations Research and Board of Governors of the Federal Reserve System
Downloads 213 (261,890)

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Over-the-counter markets, counterparty concentration, Counterparty risk, Negative externalities

43.

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios

Finance Stochastics, Forthcoming
Number of pages: 37 Posted: 16 Jul 2013 Last Revised: 05 Aug 2013
Lijun Bo and Agostino Capponi
Xidian University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 184 (298,992)

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Bilateral counterparty valuation adjustment, weak convergence, doubly stochastic processes, credit default swaps

44.

Systemic Influences on Optimal Equity-Credit Investment

Management Science, Forthcoming
Number of pages: 40 Posted: 31 Jan 2015 Last Revised: 08 Jan 2016
Agostino Capponi and Christoph Frei
Columbia University - Department of Industrial Engineering and Operations Research and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 180 (304,968)
Citation 3

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systemic risk, credit risk, mixed equity-credit strategies, calibration

45.

Arbitrage-Free XVA

Math. Finance 28:2 (2018), 582-620
Number of pages: 39 Posted: 12 Aug 2016 Last Revised: 23 Feb 2020
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 178 (308,011)
Citation 13

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XVA, counterparty risk, asymmetric rates, collateralization

46.

Arbitrage-Free Pricing of XVA – Part II: PDE Representation and Numerical Analysis

Number of pages: 18 Posted: 23 Feb 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 170 (320,660)
Citation 7

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XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions

47.

Robust XVA

Forthcoming, Mathematical Finance
Number of pages: 45 Posted: 27 Feb 2018 Last Revised: 23 Feb 2020
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 138 (380,663)
Citation 1

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robust XVA, counterparty credit risk, backward stochastic differential equation, arbitrage-free valuation

48.

Dynamic Credit Investment in Partially Observed Markets

Finance Stochastics, Forthcoming
Number of pages: 38 Posted: 02 Jun 2014
Agostino Capponi, Jose E. Figueroa-Lopez and Andrea Pascucci
Columbia University - Department of Industrial Engineering and Operations Research, Purdue University and University of Bologna - Department of Mathematics
Downloads 133 (391,880)
Citation 1

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Default risk, Hidden Markov Chain, Partial information, Filtering, Risk sensitive control

49.

Virtual Trading in a Multi-Settlement Electricity Market

Number of pages: 49 Posted: 01 Dec 2023
Agostino Capponi, Garud Iyengar, Bo Yang and Daniel Bienstock
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and affiliation not provided to SSRN
Downloads 132 (394,142)

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virtual trading, electricity markets, arbitrage, day ahead market, real time market, Nash equilibrium

50.

Optimal Credit Investment with Borrowing Costs

Forthcoming in Mathematics of Operations Research
Number of pages: 36 Posted: 26 Aug 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 129 (401,374)

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borrowing costs, credit risk, optimal investment

51.

Default and Systemic Risk in Equilibrium

Number of pages: 27 Posted: 04 Aug 2011
Agostino Capponi and Martin Larsson
Columbia University - Department of Industrial Engineering and Operations Research and ETH Zürich - Department of Mathematics
Downloads 128 (403,727)

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contagion, systemic risk, default risk, equilibrium

52.

Will Banning Naked CDS Impact Bond Prices?

Forthcoming in Annals of Finance
Number of pages: 32 Posted: 15 Aug 2013
Agostino Capponi and Martin Larsson
Columbia University - Department of Industrial Engineering and Operations Research and ETH Zürich - Department of Mathematics
Downloads 123 (416,092)

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Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions

53.

Proposer-Builder Separation, Payment for Order Flows, and Centralization in Blockchain

Number of pages: 48 Posted: 28 Feb 2024
Agostino Capponi, Ruizhe Jia and Sveinn Olafsson
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University and Columbia University
Downloads 110 (452,163)

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Maximal extractable value, payment for order flows, order flow auctions, centralization, proposer-builder-separation

54.

The Collateral Rule: Theory for the Credit Default Swap Market

Number of pages: 24 Posted: 25 Aug 2020
Chuan Du, Agostino Capponi and Stefano Giglio
Board of Governors of the Federal Reserve System, Columbia University - Department of Industrial Engineering and Operations Research and Yale School of Management
Downloads 101 (480,566)
Citation 4

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CDS, Collateral Requirement

55.

Dynamic Contracting: Accidents Lead to Nonlinear Contracts

SIAM Journal of Financial Mathematics, Forthcoming
Number of pages: 28 Posted: 12 Aug 2015 Last Revised: 15 Aug 2015
Agostino Capponi and Christoph Frei
Columbia University - Department of Industrial Engineering and Operations Research and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 95 (500,345)
Citation 1

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principal agent problems, optimal contracts, accident risk, moral hazard

56.

Optimal Investment under Information Driven Contagious Distress

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 36 Posted: 21 Sep 2015 Last Revised: 19 Dec 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 92 (510,743)

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information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB

57.

Performance Analysis of Matrix Completion Optimization with Applications to Block Causal Inference

Number of pages: 35 Posted: 03 Mar 2023 Last Revised: 26 May 2023
Agostino Capponi and Mihailo Stojnic
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 91 (514,234)

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causal inference, matrix completion, irreversible treatment phase transitions

58.

Portfolio Choice with Market-Credit Risk Dependencies

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 38 Posted: 27 Jun 2018
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 83 (544,242)

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investment/consumption problem, stochastic factors, martingale method

59.

Decentralized Finance: Protocols, Risks, and Governance

Foundations and Trends® in Privacy and Security, Vol 5, Issue 3, 2023
Number of pages: 68 Posted: 19 Dec 2023
Agostino Capponi, Garud Iyengar and Jay Sethuraman
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
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DeFi, smart contracts, decentralized exchanges, decentralized lending pools

60.

Counterparty Risk for CDS: Default Clustering Effects

Journal of Banking and Finance, Vol. 52, pp. 29-42, February 2015
Number of pages: 25 Posted: 26 Feb 2016 Last Revised: 05 Mar 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 81 (552,249)
Citation 1

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counterparty risk, credit default swap, default clustering

Are supply networks efficiently resilient?

Number of pages: 60 Posted: 28 Mar 2024
Agostino Capponi, Chuan Du and Joseph E. Stiglitz
Columbia University - Department of Industrial Engineering and Operations Research, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Finance
Downloads 58 (678,408)

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supply networks, market incompleteness, demand shocks, spot markets, preorder markets

Are Supply Networks Efficiently Resilient?

NBER Working Paper No. w32221
Number of pages: 61 Posted: 11 Mar 2024
Agostino Capponi, Chuan Du and Joseph E. Stiglitz
Columbia University - Department of Industrial Engineering and Operations Research, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Finance
Downloads 22 (952,625)
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62.

Capital and Resolution Policies: The US Interbank Market

Journal of Financial Stability, Forthcoming
Number of pages: 35 Posted: 01 Sep 2014 Last Revised: 24 Apr 2016
Columbia University - Department of Industrial Engineering and Operations Research, Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of ClevelandCase Western Reserve University - Weatherhead School of Management and Federal Reserve Bank of Cleveland
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policies, countercyclical buffers, default resolution, interbank market, simulation

63.

Optimal Bailouts and the Doom Loop with a Financial Network

NBER Working Paper No. w27074
Number of pages: 42 Posted: 05 May 2020 Last Revised: 24 Jun 2023
Agostino Capponi, Felix Corell and Joseph E. Stiglitz
Columbia University - Department of Industrial Engineering and Operations Research, VU Amsterdam and Columbia University - Columbia Business School, Finance
Downloads 32 (834,391)
Citation 5

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Other Papers (1)

Total Downloads: 36
1.

Recovery of Approximately Low Rank Matrices and Applications to Block Causal Inference

Number of pages: 34 Posted: 08 Jun 2023
Agostino Capponi and Mihailo Stojnic
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research
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causal inference, matrix completion, irreversible treatment, phase transitions