no code implementations • 17 Sep 2024 • Maxim Bichuch, Zachary Feinstein
Empirically, the prevailing market prices for liquidity tokens of the constant product market maker (CPMM) -- as offered in practice by companies such as Uniswap -- readily permit arbitrage opportunities by delta hedging the risk of the position.
no code implementations • 23 Jul 2024 • Çağın Ararat, Zachary Feinstein
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature.
no code implementations • 3 Jul 2024 • Zachary Feinstein, Grzegorz Halaj, Andreas Sojmark
We build a balance sheet-based model to capture run risk, i. e., a reduced potential to raise capital from liquidity buffers under stress, driven by depositor scrutiny and further fueled by fire sales in response to withdrawals.
no code implementations • 10 May 2024 • Zhiyu Cao, Zachary Feinstein
This study explores the innovative use of Large Language Models (LLMs) as analytical tools for interpreting complex financial regulations.
no code implementations • 22 Apr 2024 • Agathe Sadeghi, Zachary Feinstein
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time.
no code implementations • 10 Nov 2023 • Zhiyu Cao, Zachary Feinstein
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings.
no code implementations • 26 Jul 2023 • Zhiyu Cao, Zihan Chen, Prerna Mishra, Hamed Amini, Zachary Feinstein
Financial contagion has been widely recognized as a fundamental risk to the financial system.
no code implementations • 17 Jul 2023 • Hamed Amini, Maxim Bichuch, Zachary Feinstein
Importantly, we study how liquidity can be pooled or withdrawn from the AMM and the resulting implications to the market behavior.
no code implementations • 23 Apr 2023 • Zachary Feinstein, Marcel Kleiber, Stefan Weber
We introduce a rigorous framework for stochastic cell transmission models for general traffic networks.
no code implementations • 28 Nov 2022 • Zachary Feinstein, Andreas Sojmark
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses.
no code implementations • 3 Oct 2022 • Maxim Bichuch, Zachary Feinstein
Within this work we consider an axiomatic framework for Automated Market Makers (AMMs).
no code implementations • 1 Sep 2021 • Hamed Amini, Maxim Bichuch, Zachary Feinstein
Finally, we consider the optimal bidding strategies for each firm in the network so that all firms are utility maximizers with respect to their terminal wealths.
no code implementations • 1 Mar 2021 • Yanhong Chen, Zachary Feinstein
Finally, the equivalence of multiportfolio time consistency between set-valued risk measures for processes and vectors is provided; to accomplish this, an augmented definition for multiportfolio time consistency of set-valued risk measures for processes is proposed.
no code implementations • 3 Feb 2021 • Zachary Feinstein
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets.
no code implementations • 14 Dec 2020 • Maxim Bichuch, Zachary Feinstein
In this work we present an equilibrium formulation for price impacts.
no code implementations • 28 Oct 2020 • 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.
no code implementations • 20 Aug 2020 • Hamed Amini, Zachary Feinstein
This paper introduces a formulation of the optimal network compression problem for financial systems.
no code implementations • 1 Jun 2020 • 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.
no code implementations • 11 May 2020 • Maxim Bichuch, Zachary Feinstein
Similarly the fire-sale price of the asset obtained by each of the banks depends on the amount of assets liquidated by the bank itself and by other banks.
no code implementations • 22 Mar 2020 • Zachary Feinstein
In this paper, we study the financial and economic implications of a zombie epidemic on a major industrialized nation.
no code implementations • 14 Dec 2019 • Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations.
no code implementations • 26 Oct 2019 • Tathagata Banerjee, Zachary Feinstein
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement.
no code implementations • 11 Oct 2018 • Zachary Feinstein, Birgit Rudloff
We are motivated to study time consistency of multivariate scalar risk measures as the superhedging risk measure in markets with transaction costs (with a single eligible asset) (Jouini and Kallal (1995), Roux and Zastawniak (2016), Loehne and Rudloff (2014)) does not satisfy the usual scalar concept of time consistency.
no code implementations • 2 Oct 2018 • 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.
no code implementations • 27 Jul 2018 • Zachary Feinstein, Birgit Rudloff
First, some results are provided on the dual representation of such risk measures, with particular emphasis given on the space of dual variables as (equivalent) martingale measures and prices consistent with the market model.
1 code implementation • 7 Jul 2018 • Zachary Feinstein
We use this model to find analytical bounds on the risk-weights for an asset as a function of the market liquidity.
Mathematical Finance Risk Management
1 code implementation • 22 May 2018 • 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.
Mathematical Finance Risk Management
1 code implementation • 6 Jan 2018 • 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 examination of default risk.