Andreea Minca

Cornell University

Associate Professor

222 Rhodes Hall

Ithaca, NY NY 14853

United States

http://people.orie.cornell.edu/acm299/

  • Cornell University

SCHOLARLY PAPERS

29

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Top 4,934

in Total Papers Downloads

14,404

SSRN CITATIONS
Rank 6,184

SSRN RANKINGS

Top 6,184

in Total Papers Citations

154

CROSSREF CITATIONS

113

Scholarly Papers (29)

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1.

Systemic Risk and Central Clearing Counterparty Design

Downloads 2,228 (11,941)
Citation 15

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida, École Polytechnique Fédérale de Lausanne and Cornell University
Downloads 2,071 (13,130)
Citation 13

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Over the Counter Markets, Central Counterparty Clearing, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets

Systemic Risk in Networks with a Central Node

Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43 Posted: 24 Jan 2020
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida, École Polytechnique Fédérale de Lausanne and Cornell University
Downloads 157 (322,013)
Citation 4

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Star-shaped Networks, Central Node, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets

2.

Stress Testing the Resilience of Financial Networks

Number of pages: 19 Posted: 25 Dec 2010 Last Revised: 28 Dec 2010
Hamed Amini, Rama Cont and Andreea Minca
University of Florida, University of Oxford and Cornell University
Downloads 1,552 (20,971)
Citation 10

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systemic risk, banking network, stress test, counterparty risk, macro-prudential regulation, complex network, scale-free network

3.

Resilience to Contagion in Financial Networks

Number of pages: 40 Posted: 19 Jun 2011 Last Revised: 06 Oct 2012
Hamed Amini, Rama Cont and Andreea Minca
University of Florida, University of Oxford and Cornell University
Downloads 1,491 (22,300)
Citation 32

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systemic risk, contagion, default, macroprudential regulation, financial stability, random graph, network model, financial networks, interconnectedness, balance-sheet contagion

4.

Recovering Portfolio Default Intensities Implied by CDO Quotes

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-01
Number of pages: 32 Posted: 13 Mar 2008 Last Revised: 02 Oct 2010
Rama Cont and Andreea Minca
University of Oxford and Cornell University
Downloads 1,400 (24,494)
Citation 22

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CDO, portfolio credit derivatives, model calibration, default risk, inverse problem

5.

Credit Default Swaps and Systemic Risk

Number of pages: 24 Posted: 29 Aug 2014 Last Revised: 03 Nov 2014
Rama Cont and Andreea Minca
University of Oxford and Cornell University
Downloads 1,001 (39,821)
Citation 19

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systemic risk, financial network, credit derivatives, CDS, financial stability, central clearing, CCP, liquidity risk

6.

Networks of Common Asset Holdings: Aggregation and Measures of Vulnerability

Number of pages: 27 Posted: 16 Jan 2014 Last Revised: 03 Nov 2014
Anton Braverman and Andreea Minca
Cornell University - School of Operations Research and Industrial Engineering and Cornell University
Downloads 603 (78,181)
Citation 25

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Financial networks, Mutual Funds, Contagion, Liquidity, Flow Imbalance, Aggregation

7.

Mathematical Modeling of Systemic Risk

ADVANCES IN NETWORK ANALYSIS AND ITS APPLICATIONS, E. Kranakis, ed., Springer Verlag, 2012
Number of pages: 20 Posted: 08 Mar 2012
Andreea Minca and Hamed Amini
Cornell University and University of Florida
Downloads 602 (78,351)

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Systemic risk, Financial networks

8.

Stablecoins 2.0: Economic Foundations and Risk-based Models

Proceedings of the 2nd ACM Conference on Advances in Financial Technologies (AFT '20)
Number of pages: 21 Posted: 15 Jul 2020 Last Revised: 29 Oct 2020
Ariah Klages-Mundt, Dominik Harz, Lewis Gudgeon, Jun-You Liu and Andreea Minca
Cornell University, Imperial College London, Imperial College London, Cornell University and Cornell University
Downloads 563 (85,254)
Citation 10

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stablecoins, non-custodial stablecoins, cryptocurrencies, cryptoeconomics, financial risk, decentralized finance, capital structure

9.

The Topology of Overlapping Portfolio Networks

Number of pages: 22 Posted: 18 Jun 2015
Weilong Guo, Andreea Minca and Li Wang
Cornell University, Cornell University and Massachusetts Institute of Technology (MIT) - Operations Research Center
Downloads 525 (93,017)
Citation 3

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Financial network, Fund portfolios, Vulnerability, Centrality, Forecasting, Graph clustering

10.

Optimal Equity Infusions in Interbank Networks

Number of pages: 35 Posted: 13 Aug 2012 Last Revised: 13 Feb 2013
Hamed Amini, Andreea Minca and Agnes Sulem
University of Florida, Cornell University and INRIA Paris
Downloads 512 (95,884)
Citation 5

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systemic risk, liquidity risk, financial contagion, Markov decision process, optimal interventions

11.

Inhomogeneous Financial Networks and Contagious Links

Number of pages: 28 Posted: 07 Nov 2014
Hamed Amini and Andreea Minca
University of Florida and Cornell University
Downloads 444 (113,701)
Citation 12

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Systemic risk, Default contagion, Financial stability, Contagious links, Phase transitions, Complex networks, Inhomogeneous random graphs.

12.

When Do Creditors with Heterogeneous Beliefs Agree to Run?

Number of pages: 45 Posted: 27 Nov 2012 Last Revised: 21 Jan 2013
Andrey Krishenik, Andreea Minca and Johannes Wissel
Cornell University - School of Operations Research and Industrial Engineering, Cornell University and Cornell University - School of Operations Research and Industrial Engineering
Downloads 372 (139,308)
Citation 1

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Funding Liquidity, Liquidity Risk, Microstructure of Funding Markets, Bank Runs, Credit Risk, Coordination Game, Nash Equilibrium

13.

Optimal Cash Holdings Under Heterogeneous Beliefs

Number of pages: 39 Posted: 14 Jun 2014 Last Revised: 08 Jul 2015
Robert A. Jarrow, Andrey Krishenik and Andreea Minca
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - School of Operations Research and Industrial Engineering and Cornell University
Downloads 358 (145,269)
Citation 1

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Funding liquidity, Cash balances, Debt capacity, Optimal investment under market frictions, Stackelberg equilibrium, Heterogeneous creditors

14.

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Operations Research, Forthcoming, Swiss Finance Institute Research Paper No. 14-63
Number of pages: 22 Posted: 01 Nov 2014 Last Revised: 18 Jan 2016
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida, École Polytechnique Fédérale de Lausanne and Cornell University
Downloads 333 (157,061)
Citation 14

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Over the Counter Markets, Financial Network, Partial Multilateral Netting

15.

Optimal Control of Interbank Contagion Under Complete Information

Number of pages: 25 Posted: 30 Aug 2013 Last Revised: 03 Nov 2014
Andreea Minca and Agnes Sulem
Cornell University and INRIA Paris
Downloads 274 (192,656)
Citation 3

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Systemic risk, Liquidity risk, Bank runs, Financial contagion, Financial Networks, Optimal Intervention, , Bail-outs

16.

Uniqueness of Equilibrium in a Payment System with Liquidation Costs

Operations Research Letters, Forthcoming, Swiss Finance Institute Research Paper No. 15-20
Number of pages: 11 Posted: 18 Jun 2015 Last Revised: 18 Jan 2016
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida, École Polytechnique Fédérale de Lausanne and Cornell University
Downloads 247 (213,534)
Citation 15

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Financial Network, Systemic Risk, Eiseberg Noe Model, Asset Price Contagion

17.

Blockchain Adoption and Optimal Reinsurance Design

Number of pages: 37 Posted: 01 Sep 2021 Last Revised: 02 Feb 2023
Hamed Amini, Romain Deguest, Engin Iyidogan and Andreea Minca
University of Florida, World Bank, SKEMA Business School - Univ Cote d'Azur and Cornell University
Downloads 231 (227,994)

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Blockchain, Nash Equilibrium, Insurance-Reinsurance, Technology Adoption, FinTech

18.

Dynamics of Debt Capacity

Number of pages: 41 Posted: 18 Jun 2015
Andreea Minca and Johannes Wissel
Cornell University and Cornell University - School of Operations Research and Industrial Engineering
Downloads 228 (230,855)
Citation 1

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Bank runs, funding liquidity, debt capacity, Nash equilibrium

19.

Large VARX Model With Network Regularization

Number of pages: 27 Posted: 15 Feb 2018
Weilong Guo and Andreea Minca
Cornell University and Cornell University
Downloads 221 (237,703)

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Varx Model, Networks, Group Lasso, High-Dimensional Time Series, Forecasting, Time Series Clustering

20.

Mean-field BSDEs with jumps and dual representation for global risk measures

Probability, Uncertainty and Quantitative Risk
Number of pages: 25 Posted: 07 Sep 2019 Last Revised: 04 Nov 2022
Rui Chen, Roxana Dumitrescu, Andreea Minca and Agnes Sulem
INRIA, King’s College London, Cornell University and INRIA Paris
Downloads 176 (291,911)
Citation 1

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Mean-field interactions, BSDEs, dynamic risk measures, system influence

21.

A Dynamic Contagion Risk Model With Recovery Features

Number of pages: 49 Posted: 13 Aug 2019 Last Revised: 04 Aug 2020
Hamed Amini, Andreea Minca and Agnes Sulem
University of Florida, Cornell University and INRIA Paris
Downloads 153 (328,817)
Citation 1

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collective risk theory, systemic risk, default contagion

22.

On the Central Management of Risk Networks

Advances in Applied Probability, Forthcoming
Number of pages: 17 Posted: 26 Jul 2016
Florin Avram and Andreea Minca
Université de Pau et des Pays de l'Adour and Cornell University
Downloads 131 (371,658)
Citation 2

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Multi-Dimensional Risk Process, Sparre-Andersen Process, Markov Additive Process, Matrix Exponential Approximation, Ruin Probability.

23.

Control of Interbank Contagion Under Partial Information

Number of pages: 26 Posted: 22 May 2015
Hamed Amini, Andreea Minca and Agnes Sulem
University of Florida, Cornell University and INRIA Paris
Downloads 131 (371,658)
Citation 4

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Systemic risk, Optimal control, Financial networks, Lender of last resort

24.

Clustering Heterogeneous Financial Networks

Number of pages: 44 Posted: 12 Jan 2023
Hamed Amini, Yudong Chen, Andreea Minca and Xin Qian
University of Florida, University of Wisconsin - Madison - Department of Computer Sciences, Cornell University and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 130 (373,855)

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Clustering, community detection, financial networks, overlapping portfolios.

25.

Social Distancing Game and Insurance Investment in a Pandemic

Number of pages: 33 Posted: 29 Jul 2020 Last Revised: 08 Feb 2022
Hamed Amini and Andreea Minca
University of Florida and Cornell University
Downloads 118 (401,841)
Citation 3

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Social distancing game, epidemic risks, cohort effects, insurance investment

26.

Ruin Probabilities for Risk Processes in Stochastic Networks

Number of pages: 35 Posted: 14 Feb 2023 Last Revised: 14 Nov 2023
Hamed Amini, Zhongyuan Cao, Andreea Minca and Agnes Sulem
University of Florida, INRIA Paris, Cornell University and INRIA Paris
Downloads 109 (425,821)

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Risk processes, ruin probabilities, stochastic networks.

27.

Clearing Financial Networks: Impact on Equilibrium Asset Prices and Seniority of Claims

Number of pages: 28 Posted: 21 Jul 2020
Hamed Amini and Andreea Minca
University of Florida and Cornell University
Downloads 97 (461,807)
Citation 1

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Systemic Risk, Financial Network, Central Clearing, Portfolio Compression

28.

Blockchain Adoption and Optimal Reinsurance Design

Number of pages: 38 Posted: 29 Jan 2023
Engin Iyidogan, Hamed Amini, Andreea Minca and Romain Deguest
SKEMA Business School - Univ Cote d'Azur, University of Florida, Cornell University and World Bank
Downloads 89 (487,875)

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Blockchain Adoption, Nash Equilibrium, Insurance-Reinsurance

29.

Dynamic Debt Issuance with Jumps

Number of pages: 23 Posted: 29 Sep 2022 Last Revised: 24 Oct 2022
Andreea Minca and Johannes Wissel
Cornell University and Cornell University - School of Operations Research and Industrial Engineering
Downloads 85 (501,988)

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