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Zachary Feinstein
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Cited by
Year
Measures of systemic risk
Z Feinstein, B Rudloff, S Weber
SIAM Journal on Financial Mathematics 8 (1), 672-708, 2017
1312017
Financial contagion and asset liquidation strategies
Z Feinstein
Operations Research Letters 45 (2), 109-114, 2017
652017
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Z Feinstein, B Rudloff
Finance and Stochastics 19 (1), 67-107, 2015
442015
Time consistency of dynamic risk measures in markets with transaction costs
Z Feinstein, B Rudloff
Quantitative Finance 13 (9), 1473-1489, 2013
392013
Dynamic clearing and contagion in financial networks
T Banerjee, A Bernstein, Z Feinstein
arXiv preprint arXiv:1801.02091, 2018
342018
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
342018
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
A comparison of techniques for dynamic multivariate risk measures
Z Feinstein, B Rudloff
Set Optimization and Applications-The State of the Art, 3-41, 2015
242015
Obligations with physical delivery in a multilayered financial network
Z Feinstein
SIAM Journal on Financial Mathematics 10 (4), 877-906, 2019
222019
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
202017
Impact of contingent payments on systemic risk in financial networks
T Banerjee, Z Feinstein
Mathematics and Financial Economics 13 (4), 617-636, 2019
192019
Optimization of fire sales and borrowing in systemic risk
M Bichuch, Z Feinstein
SIAM Journal on Financial Mathematics 10 (1), 68-88, 2019
162019
Pricing of debt and equity in a financial network with comonotonic endowments
T Banerjee, Z Feinstein
Operations Research, 2022
142022
Capital regulation under price impacts and dynamic financial contagion
Z Feinstein
European Journal of Operational Research 281 (2), 449-463, 2020
142020
Time consistency for scalar multivariate risk measures
Z Feinstein, B Rudloff
Statistics & Risk Modeling 38 (3-4), 71-90, 2021
122021
A dynamic default contagion model: From Eisenberg-Noe to the mean field
Z Feinstein, A Sojmark
arXiv preprint arXiv:1912.08695, 2019
112019
Risk measures for power failures in transmission systems
A Cassidy, Z Feinstein, A Nehorai
Chaos: An Interdisciplinary Journal of Nonlinear Science 26 (11), 113110, 2016
112016
Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums
Z Feinstein, B Rudloff, J Zhang
Mathematics of Operations Research 47 (1), 616-642, 2022
102022
A supermartingale relation for multivariate risk measures
Z Feinstein, B Rudloff
Quantitative Finance 18 (12), 1971-1990, 2018
102018
Optimal network compression
H Amini, Z Feinstein
arXiv preprint arXiv:2008.08733, 2020
82020
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