Andreea Minca is an Associate Professor in the School of Operations Research and Information Engineering at Cornell University. Andreea Minca received her PhD in Applied Mathematics from the University Paris 6 Pierre et Marie Curie in 2011. She studies financial systems and uses mathematical modeling to derive optimal policies that promote system stability. In recognition of her fundamental research contributions to the understanding of financial instability, quantifying and managing systemic risk, and the control of interbank contagion, Andreea Minca received the 2016 SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize. She is also a 2014 GARP Fellow and the recipient of an NSF CAREER Award.
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
This paper quantifies the interrelations induced among financial institutions by common asset holdings.