142 citations · 280 across the 34 of their papers we have counts for
7 papers · 1 filter
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…
Pricing of debt and equity in a financial network with comonotonic endowments
Tathagata Banerjee, Zachary Feinstein
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting pro…
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…
Capital Regulation under Price Impacts and Dynamic Financial Contagion
Zachary Feinstein
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this settin…
Impact of Contingent Payments on Systemic Risk in Financial Networks
Tathagata Banerjee, Zachary Feinstein
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe finan…
Optimization of Fire Sales and Borrowing in Systemic Risk
Maxim Bichuch, Zachary Feinstein
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as…
Dynamic Clearing and Contagion in Financial Networks
Tathagata Banerjee, Alex Bernstein, Zachary Feinstein
In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic ex…