142 citations · 280 across the 34 of their papers we have counts for
Showing 2020 · q-fin.RMShow all
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q-fin.RM2020
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…
q-fin.RM2020★ 1 cited
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…
q-fin.RM2020
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…