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

22

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SSRN CITATIONS
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36

CROSSREF CITATIONS

151

Scholarly Papers (22)

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1.

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
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,763 (9,172)
Citation 12

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Over the Counter Markets, Central Counterparty Clearing, 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
J. Mack Robinson College of Business, University of Oxford and Cornell University
Downloads 1,433 (12,826)
Citation 7

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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 1,394 ( 13,422)
Citation 49

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
J. Mack Robinson College of Business, University of Oxford and Cornell University
Downloads 1,394 (13,160)
Citation 21

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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
J. Mack Robinson College of Business, University of Oxford and Cornell University
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Citation 6
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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 1,328 ( 14,465)
Citation 17

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 1,327 (14,170)
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 (696,939)
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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 872 (27,006)
Citation 10

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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 J. Mack Robinson College of Business
Downloads 550 (50,248)

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Systemic risk, Financial networks

7.

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
J. Mack Robinson College of Business, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 463 (62,444)
Citation 2

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

8.

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 403 (73,888)
Citation 14

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

9.

Inhomogeneous Financial Networks and Contagious Links

Number of pages: 28 Posted: 07 Nov 2014
Hamed Amini and Andreea Minca
J. Mack Robinson College of Business and Cornell University
Downloads 395 (75,561)
Citation 3

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

10.

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 366 (82,544)
Citation 3

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

11.

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 306 (100,858)
Citation 1

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

12.

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 295 (105,366)

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

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
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 252 (123,995)
Citation 5

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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 239 (130,828)

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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
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 176 (174,321)
Citation 3

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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 168 (181,512)
Citation 1

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Bank runs, funding liquidity, debt capacity, Nash equilibrium

17.

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 91 (287,924)
Citation 1

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

18.

Control of Interbank Contagion Under Partial Information

Number of pages: 26 Posted: 22 May 2015
Hamed Amini, Andreea Minca and Agnes Sulem
J. Mack Robinson College of Business, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 76 (321,223)
Citation 1

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

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 71 (333,738)

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

20.

A Dynamic Contagion Risk Model With Recovery Features

Number of pages: 36 Posted: 13 Aug 2019
Hamed Amini, Rui Chen, Andreea Minca and Agnes Sulem
J. Mack Robinson College of Business, Inria, Cornell University and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 34 (458,873)

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collective risk theory, systemic risk, default contagion

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 30 (482,476)

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Systemic risk measures, BSDEs

22.

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 (664,060)
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debt capacity, funding liquidity, heterogeneous beliefs, optimal investment under market frictions, Stackelberg equilibrium