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Agostino Capponi

Columbia University

Assistant Professor

S. W. Mudd Building

New York, NY 10027

United States

  • Columbia University

SCHOLARLY PAPERS

36

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6,412

CITATIONS
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SSRN RANKINGS

Top 11,367

in Total Papers Citations

36

Scholarly Papers (36)

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1.

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
Downloads 1,030 (14,435)
Citation 18

Abstract:

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

2.

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
Downloads 434 (47,280)
Citation 3

Abstract:

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

3.

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

Number of pages: 39 Posted: 20 Jan 2011
Damiano Brigo, Agostino Capponi, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Columbia University, Banca IMI and Barclays Capital
Downloads 422 (44,207)
Citation 8

Abstract:

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

4.

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 D. Yao
Columbia University, The University of Hong Kong and Columbia University
Downloads 286 (86,356)

Abstract:

systemic risk, financial network, interbank liabilities, majorization

5.

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Downloads 272 ( 91,325)

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
Downloads 272 (90,845)

Abstract:

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

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Number of pages: 50 Posted: 20 Sep 2016
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Downloads 0

Abstract:

dynamic portfolio optimization, credit default swaps, contagion risk, interacting default intensities

6.

Intraday Market Making with Overnight Inventory Costs

Downloads 255 ( 97,806)

Intraday Market Making with Overnight Inventory Costs

Number of pages: 51 Posted: 29 Sep 2016 Last Revised: 31 Jan 2017
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 192 (129,286)

Abstract:

Market Microstructure, Market Liquidity, High Frequency Trading, Financial Intermediation

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 50 Posted: 25 Oct 2016
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 63 (293,934)

Abstract:

market microstructure, market liquidity, high-frequency trading, financial intermediation

7.

Credit Risk Modeling with Misreporting and Incomplete Information

Downloads 226 (110,713)

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 and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 226 (110,258)

Abstract:

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 and California Institute of Technology - Division of the Humanities and Social Sciences

Abstract:

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

8.

Asset Value Dynamics in Centrally Cleared Networks

Number of pages: 29 Posted: 26 Dec 2014 Last Revised: 23 May 2016
Agostino Capponi, W. Allen Cheng and Sriram Rajan
Columbia University, Columbia University and Government of the United States of America - Office of Financial Research
Downloads 161 (70,613)

Abstract:

Central clearing, Financial institutions, asset value dynamics

9.

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 and The University of Hong Kong
Downloads 155 (113,695)

Abstract:

Systemic risk, mitigation strategies, clearing payments, financial networks

10.

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
Downloads 136 (126,512)
Citation 2

Abstract:

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

11.

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, DEAMS, Università di Trieste and University of Padua - Department of Pure and Applied Mathematics
Downloads 127 (155,134)
Citation 1

Abstract:

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

12.

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
Downloads 123 (164,157)

Abstract:

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

13.

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
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 119 (109,738)

Abstract:

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

14.

Default and Systemic Risk in Equilibrium

Downloads 101 (218,567)

Default and Systemic Risk in Equilibrium

Number of pages: 27 Posted: 04 Aug 2011
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 101 (219,818)

Abstract:

contagion, systemic risk, default risk, equilibrium

Default and Systemic Risk in Equilibrium

Mathematical Finance, Vol. 25, Issue 1, pp. 51-76, 2015
Number of pages: 26 Posted: 17 Jan 2015
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 0

Abstract:

default risk, systemic risk, equilibrium

15.

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, Purdue University and University of Bologna - Department of Mathematics
Downloads 85 (217,031)

Abstract:

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

16.

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
Downloads 72 (171,841)

Abstract:

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

17.

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 and ETH Zurich - Department of Mathematics
Downloads 68 (268,040)

Abstract:

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

18.

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 and ETH Zurich - Department of Mathematics
Downloads 65 (123,547)

Abstract:

systemic risk, price linkages, network stability, deleveraging

19.

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
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 44 (207,018)

Abstract:

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

20.

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 and University of Alberta
Downloads 27 (181,235)

Abstract:

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

21.

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 and University of Alberta
Downloads 13 (380,699)

Abstract:

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

22.

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
Downloads 8 (315,942)

Abstract:

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

23.

Credit Portfolio Selection with Self-Exciting Defaults

Number of pages: 53 Posted: 26 Sep 2015 Last Revised: 15 Feb 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 4 (318,794)

Abstract:

Fixed income, self-exciting defaults, dynamic portfolio optimization, risk aversion

24.

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

Columbia Business School Research Paper No. 17-45
Number of pages: 46 Posted: 14 Apr 2017
Benjamin Bernard, Agostino Capponi and Joseph E. Stiglitz
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University and Columbia Business School - Finance and Economics
Downloads 0 (195,328)

Abstract:

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

25.

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

Number of pages: 33 Posted: 09 Mar 2017
Agostino Capponi, W. Allen Cheng and Jay Sethuraman
Columbia University, Columbia University and Columbia University
Downloads 0 (295,122)

Abstract:

clearinghouses, risk-sharing, funding costs, default waterfall

26.

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
Downloads 0 (315,942)

Abstract:

borrowing costs, credit risk, optimal investment

27.

Arbitrage-Free XVA

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 12 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 0 (297,509)

Abstract:

XVA, counterparty risk, asymmetric rates, collateralization

28.

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
Downloads 0 (194,105)

Abstract:

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

29.

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
Downloads 0 (156,816)

Abstract:

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

30.

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
Downloads 0 (358,974)

Abstract:

counterparty risk, credit default swap, default clustering

31.

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
Downloads 0 (148,621)

Abstract:

32.

Clearinghouse Margin Requirements

Number of pages: 72 Posted: 05 Oct 2015 Last Revised: 14 Apr 2017
Agostino Capponi and W. Allen Cheng
Columbia University and Columbia University
Downloads 0 (130,172)

Abstract:

Margin requirements, central clearing, systemic risk

33.

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
Agostino Capponi, John M. Dooley, Mikhail V. Oet and Stephen J. Ong
Columbia University, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Case Western Reserve University - Weatherhead School of Management and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 0 (397,139)

Abstract:

policies, countercyclical buffers, default resolution, interbank market, simulation

34.

Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching

Mathematical Finance, Vol. 24, Issue 2, pp. 207-249, 2014
Number of pages: 43 Posted: 06 Mar 2014
Agostino Capponi and José E. Figueroa‐López
Columbia University and Purdue University
Downloads 0 (553,143)

Abstract:

dynamic portfolio optimization, credit risk, regime‐switching models, utility maximization, Hamilton–Jacobi–Bellman equations

35.

Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime‐Switching Markets

Mathematical Finance, Vol. 24, Issue 2, pp. 250-288, 2014
Number of pages: 39 Posted: 06 Mar 2014
Agostino Capponi, José E. Figueroa‐López and Jeffrey Nisen
Columbia University, Purdue University and Purdue University
Downloads 0 (553,143)

Abstract:

credit risk, regime‐switching models, option pricing, vulnerable claims, semimartingale representations

36.

Arbitrage‐Free Bilateral Counterparty Risk Valuation Under Collateralization and Application to Credit Default Swaps

Mathematical Finance, Vol. 24, Issue 1, pp. 125-146, 2014
Number of pages: 22 Posted: 13 Dec 2013
Damiano Brigo, Agostino Capponi and Andrea Pallavicini
Imperial College London - Department of Mathematics, Columbia University and Banca IMI
Downloads 0 (553,143)
Citation 4

Abstract:

counterparty risk, CVA, bilateral CVA, arbitrage‐free credit valuation adjustment, credit default swaps, credit spread volatility, default correlation, contagion, stochastic intensity, collateral margining, netting, rehypotecation, wrong way risk

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