142 citations · 280 across the 34 of their papers we have counts for
8 papers · 1 filter
Endogenous inverse demand functions
Maxim Bichuch, Zachary Feinstein
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e…
Dynamic Default Contagion in Heterogeneous Interbank Systems
Zachary Feinstein, Andreas Sojmark
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To acc…
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…
Continuity and sensitivity analysis of parameterized Nash games
Zachary Feinstein
In this paper we consider continuity of the set of Nash equilibria and approximate Nash equilibria for parameterized games. For parameterized games with unique Nash equilibria, the…
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…
Reanimating a Dead Economy: Financial and Economic Analysis of a Zombie Outbreak
Zachary Feinstein
In this paper, we study the financial and economic implications of a zombie epidemic on a major industrialized nation. We begin with a consideration of the epidemiological modeling…
Dynamic Set Values for Nonzero Sum Games with Multiple Equilibriums
Zachary Feinstein, Birgit Rudloff, Jianfeng Zhang
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero sum case, they may have different values at different equilibriums. Instead of…