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Zachary Feinstein
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Measures of systemic risk
Z Feinstein, B Rudloff, S Weber
SIAM Journal on Financial Mathematics 8 (1), 672-708, 2017
1632017
Financial contagion and asset liquidation strategies
Z Feinstein
Operations Research Letters 45 (2), 109-114, 2017
852017
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Z Feinstein, B Rudloff
Finance and Stochastics 19 (1), 67-107, 2015
492015
Dynamic clearing and contagion in financial networks
T Banerjee, A Bernstein, Z Feinstein
arXiv preprint arXiv:1801.02091, 2018
422018
Time consistency of dynamic risk measures in markets with transaction costs
Z Feinstein, B Rudloff
Quantitative Finance 13 (9), 1473-1489, 2013
422013
Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
Z Feinstein, W Pang, B Rudloff, E Schaanning, S Sturm, M Wildman
SIAM Journal on Financial Mathematics 9 (4), 1286-1325, 2018
372018
A comparison of techniques for dynamic multivariate risk measures
Z Feinstein, B Rudloff
Set Optimization and Applications-The State of the Art: From Set Relations …, 2015
302015
Obligations with physical delivery in a multilayered financial network
Z Feinstein
SIAM Journal on Financial Mathematics 10 (4), 877-906, 2019
292019
A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle
Z Feinstein, B Rudloff
Journal of Global Optimization 68 (1), 47-69, 2017
282017
Optimization of fire sales and borrowing in systemic risk
M Bichuch, Z Feinstein
SIAM Journal on Financial Mathematics 10 (1), 68-88, 2019
272019
Pricing of debt and equity in a financial network with comonotonic endowments
T Banerjee, Z Feinstein
Operations Research 70 (4), 2085-2100, 2022
262022
Impact of contingent payments on systemic risk in financial networks
T Banerjee, Z Feinstein
Mathematics and Financial Economics 13, 617-636, 2019
252019
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
Z Feinstein, F El-Masri
Statistics & Risk Modeling 34 (3-4), 113-139, 2017
242017
Price mediated contagion through capital ratio requirements with VWAP liquidation prices
T Banerjee, Z Feinstein
European Journal of Operational Research 295 (3), 1147-1160, 2021
232021
Capital regulation under price impacts and dynamic financial contagion
Z Feinstein
European Journal of Operational Research 281 (2), 449-463, 2020
222020
Optimal network compression
H Amini, Z Feinstein
European Journal of Operational Research 306 (3), 1439-1455, 2023
182023
Dynamic default contagion in heterogeneous interbank systems
Z Feinstein, A Søjmark
SIAM Journal on Financial Mathematics 12 (4), SC83-SC97, 2021
182021
Risk measures for power failures in transmission systems
A Cassidy, Z Feinstein, A Nehorai
Chaos: An Interdisciplinary Journal of Nonlinear Science 26 (11), 2016
172016
Axioms for automated market makers: A mathematical framework in fintech and decentralized finance
M Bichuch, Z Feinstein
arXiv preprint arXiv:2210.01227, 2022
152022
Time consistency for scalar multivariate risk measures
Z Feinstein, B Rudloff
Statistics & Risk Modeling 38 (3-4), 71-90, 2022
152022
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Artículos 1–20