142 citations · 280 across the 34 of their papers we have counts for
6 papers · 1 filter
It's a Trap: Emperor Palpatine's Poison Pill
Zachary Feinstein
In this paper we study the financial repercussions of the destruction of two fully armed and operational moon-sized battle stations ("Death Stars") in a 4-year period and the disso…
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…