Industrial Engineering and Operations Research
United States of America
Agostino Capponi joined Columbia University's IEOR Department in August 2014, where he is also a member of the Institute for Data Science and Engineering. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms
"Networks Risk Management Stochastic Control Systemic Risk"
Birge J, Bo L (2017) Optimal Credit Investment with Borrowing Costs”. Mathematics of Operations Research 42: 546-575.
Birge J, Bo L (2017) Risk Sensitive Asset Management and Cascading Defaults”. Mathematics of Operations.