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

26

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Top 4,244

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11,956

SSRN CITATIONS
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SSRN RANKINGS

Top 4,632

in Total Papers Citations

134

CROSSREF CITATIONS

163

Scholarly Papers (26)

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1.

Systemic Risk and Central Clearing Counterparty Design

Downloads 2,014 ( 9,585)
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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,910 (10,246)
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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 104 (319,910)
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
Georgia State University, University of Oxford and Cornell University
Downloads 1,472 (15,852)
Citation 4

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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

Downloads 1,434 ( 16,510)
Citation 69

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
Georgia State University, University of Oxford and Cornell University
Downloads 1,434 (16,200)
Citation 24

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

Resilience to Contagion in Financial Networks

Mathematical Finance, Vol. 26, Issue 2, pp. 329-365, 2016
Number of pages: 37 Posted: 10 Mar 2016
Hamed Amini, Rama Cont and Andreea Minca
Georgia State University, University of Oxford and Cornell University
Downloads 0
Citation 25
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systemic risk, default contagion, random graphs, interbank network, financial stability, macroprudential regulation

4.

Recovering Portfolio Default Intensities Implied by CDO Quotes

Downloads 1,347 ( 18,148)
Citation 18

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 1,346 (17,842)
Citation 20

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

Recovering Portfolio Default Intensities Implied by CDO Quotes

Mathematical Finance, Vol. 23, Issue 1, pp. 94-121, 2013
Number of pages: 28 Posted: 10 Jan 2013
Rama Cont and Andreea Minca
University of Oxford and Cornell University
Downloads 1 (823,662)
Citation 1
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collateralized debt obligation, duality, portfolio credit derivatives, reduced‐form models, default risk, intensity control, top‐down credit risk models, relative entropy, inverse problem, model calibration, stochastic control

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 911 (32,126)
Citation 19

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

6.

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 Georgia State University
Downloads 563 (60,969)

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Systemic risk, Financial networks

7.

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 485 (73,377)
Citation 21

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

8.

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
Georgia State University, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 475 (75,315)
Citation 3

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

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 427 (85,414)
Citation 3

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

10.

Inhomogeneous Financial Networks and Contagious Links

Number of pages: 28 Posted: 07 Nov 2014
Hamed Amini and Andreea Minca
Georgia State University and Cornell University
Downloads 413 (88,785)
Citation 5

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

11.

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 315 (120,466)

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

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 313 (121,257)
Citation 1

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

13.

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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 279 (136,865)
Citation 14

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Over the Counter Markets, Financial Network, Partial Multilateral Netting

14.

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 French National Institute for Research in Computer Science and Control (INRIA)
Downloads 243 (157,170)
Citation 2

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

15.

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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 196 (192,564)
Citation 15

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

16.

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 184 (203,723)
Citation 1

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Bank runs, funding liquidity, debt capacity, Nash equilibrium

17.

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 159 (230,853)
Citation 5

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

18.

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 132 (268,076)

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

19.

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 101 (324,050)
Citation 1

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

20.

Blockchain Adoption and Optimal Reinsurance Design

Number of pages: 34 Posted: 01 Sep 2021 Last Revised: 02 Sep 2021
Hamed Amini, Romain Deguest, Engin Iyidogan and Andreea Minca
Georgia State University, IESEG School of Management, SKEMA Business School - Univ Cote d'Azur and Cornell University
Downloads 92 (343,996)

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

21.

Mean Field BSDEs and Global Dynamic Risk Measures

Number of pages: 28 Posted: 07 Sep 2019
Rui Chen, Roxana Dumitrescu, Andreea Minca and Agnes Sulem
Inria, King's College London, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 92 (343,996)

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Systemic risk measures, BSDEs

22.

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
Georgia State University, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 88 (353,745)
Citation 1

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collective risk theory, systemic risk, default contagion

23.

Voluntary Social Distancing and Life Insurance in a Pandemic

Number of pages: 33 Posted: 29 Jul 2020 Last Revised: 30 Aug 2021
Hamed Amini and Andreea Minca
Georgia State University and Cornell University
Downloads 86 (358,725)
Citation 3

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Pandemic risks, SIR epidemic process, economic epidemiology, social distancing, heterogeneous networks, random graphs

24.

Control of Interbank Contagion Under Partial Information

Number of pages: 26 Posted: 22 May 2015
Hamed Amini, Andreea Minca and Agnes Sulem
Georgia State University, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 80 (374,623)
Citation 2

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

25.

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
Georgia State University and Cornell University
Downloads 54 (458,986)
Citation 1

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Systemic Risk, Financial Network, Central Clearing, Portfolio Compression

26.

Optimal Cash Holdings Under Heterogeneous Beliefs

Mathematical Finance, Vol. 28, Issue 2, pp. 712-747, 2018
Number of pages: 36 Posted: 16 Mar 2018
Robert Jarrow, Andrey Krishenik and Andreea Minca
Cornell SC Johnson College of Business, Cornell University - School of Operations Research and Industrial Engineering and Cornell University
Downloads 1 (787,428)
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debt capacity, funding liquidity, heterogeneous beliefs, optimal investment under market frictions, Stackelberg equilibrium