142 citations · 280 across the 34 of their papers we have counts for
19 papers · 1 filter
The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
Zachary Feinstein, Grzegorz Halaj, Andreas Sojmark
We introduce a simple model of depositor runs to capture run risks at financial institutions based on their balance sheet composition. Specifically, we consider a reduced potential…
Price-mediated contagion with endogenous market liquidity
Zhiyu Cao, Zachary Feinstein
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings.…
Decentralized Payment Clearing using Blockchain and Optimal Bidding
Hamed Amini, Maxim Bichuch, Zachary Feinstein
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a ne…
Set-Valued Dynamic Risk Measures for Processes and Vectors
Yanhong Chen, Zachary Feinstein
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors a…
Optimal Network Compression
Hamed Amini, Zachary Feinstein
This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compress…
Contingent Convertible Obligations and Financial Stability
Zachary Feinstein, T. R. Hurd
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The qu…
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Maxim Bichuch, Zachary Feinstein
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of c…
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…
Time consistency for scalar multivariate risk measures
Zachary Feinstein, Birgit Rudloff
In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk me…
Scalar multivariate risk measures with a single eligible asset
Zachary Feinstein, Birgit Rudloff
In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. Fi…
Obligations with Physical Delivery in a Multi-Layered Financial Network
Zachary Feinstein
This paper provides a general framework for modeling financial contagion in a system with obligations in multiple illiquid assets (e.g., currencies). In so doing, we develop a mult…
A Supermartingale Relation for Multivariate Risk Measures
Zachary Feinstein, Birgit Rudloff
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which…
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Zachary Feinstein, Birgit Rudloff
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for assets with transaction costs or illiquidit…
The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks
Zachary Feinstein, Fatena El-Masri
This paper provides a framework for modeling the financial system with multiple illiquid assets when liquidation of illiquid assets is caused by failure to meet a leverage requirem…
Financial Contagion and Asset Liquidation Strategies
Zachary Feinstein
This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016…
Measures of Systemic Risk
Zachary Feinstein, Birgit Rudloff, Stefan Weber
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires…
A comparison of techniques for dynamic multivariate risk measures
Zachary Feinstein, Birgit Rudloff
This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions r…
Multiportfolio time consistency for set-valued convex and coherent risk measures
Zachary Feinstein, Birgit Rudloff
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on with image space…
Time consistency of dynamic risk measures in markets with transaction costs
Zachary Feinstein, Birgit Rudloff
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with tran…