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Submitted for publication


  1. Qian X., Chen Y. and Minca A. "Perfect Clustering for Degree Corrected Stochastic Block Models with Outliers" .
  2. Klages-Mundt A. and Minca, A., "(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks.".
  3. Amini H., Chen R., Minca A. and Sulem A., "A Dynamic Contagion Risk Model With Recovery Features" .
  4. Chen R., Dumitrescu R., Minca A. and Sulem A., " Mean field BSDEs and global dynamic risk measures" .
  5. Guo, W., and Minca, A. "Large VARX model with network regularization". .

Journal Articles


  1. Amini, H., D. Filipovic, and Minca, A. (2019) "Systemic risk in networks with a central node". Forthcoming in SIAM Journal on Financial Mathematics.
  2. Klages-Mundt A, and Minca A. (2019) "Cascading Losses in Reinsurance Networks.". Forthcoming in Management Science (Stochastic Models and Simulations Area).
  3. Minca, A., and Wissel, J. (2019) "Dynamic Leveraging-Deleveraging Games.". Forthcoming in Operations Research.
  4. Braverman A. and Minca, A.(2018) "Networks of common asset holdings: aggregation and measures of vulnerability.". Journal of Network Theory in Finance , 4(3): 53-78.
  5. Jarrow R., Krishenik, A., and Minca, A.(2018) Optimal cash holdings under heterogenous beliefs. Mathematical Finance, Vol. 28, Issue 2, pp. 712-747.
  6. Amini, H., Minca, A., and Sulem, A.(2017) "Optimal equity infusions in financial networks". Journal of Financial Stability, 31: 1--17.
  7. Avram F. and Minca, A. (2017). On the central management of risk networks. Advances in Applied Probability, Volume 49, Issue 1.
  8. Amini, H. and Minca, A.(2016) Inhomogeneous Financial Networks and Contagious Links. Operations Research, 64(5): 1109-1120.
  9. Amini, H., Cont R., and Minca, A. (2016). Resilience to contagion in financial networks. Mathematical Finance, 26(2), 329-365.
  10. Amini, H., D. Filipovic, and Minca, A. (2016). Uniqueness of Equilibrium in a Payment System with Liquidation Costs. Operations Research Letters, 44(1):1-5.
  11. Cont, R., and Minca, A. (2016). Credit default swaps and systemic risk. Annals of Operations Research, 247(2), pp 523-547.
  12. Amini, H., D. Filipovic, and Minca, A. (2015). To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting. Operations Research, 64(5): 1135-1142.
  13. Krishenik, A., Minca, A., and Wissel, J. (2015). When do creditors with heterogeneous beliefs agree to run?. Finance and Stochastics, Volume 19, Issue 2, pp 233-259. Video available here.
  14. Amini, H., Minca, A., and Sulem, A. (2015). Control of interbank contagion under partial information. SIAM Journal on Financial Mathematics, 6(1), 1195-1219 VIDEO .
  15. Guo, W., Minca, A. and Wang L. (2015). "The Topology of Overlapping Portfolio Networks". Statistics and Risk Modeling, 33(3-4):139-155.
  16. Minca, A., and Sulem, A. (2014). "Optimal control of interbank contagion under complete information". Statistics and Risk Modeling, 31(1):23-48.
  17. Cont, R. and Minca, A. (2013). Recovering portfolio default intensities implied by CDO quotes. Mathematical Finance, 23(1):94--121.
  18. Amini, H., Cont R., and Minca, A. (2012). "Stress testing the resilience of financial networks". International Journal of Theoretical and Applied Finance, 15(01)
  19. Peer-reviewed book chapters and conference proceedings


    1. Pozzi, M., Mailings, C. and Minca, A. (2017). Negative value of information in systems' maintenance. In Proc. of the 11th International Conference on Structural Safety and Reliability (ICOSSAR2017)
    2. Chen R., Minca, A and Sulem A. (2017). Optimal connectivity for a large financial network. In ESAIM: Proceedings and Surveys, Vol. 59, p. 43-55.
    3. Avram, F. and Minca, A. (2015). Steps towards a toolkit for central management of risk networks, using rational approximations and matrix scale functions. In A.B.Piunovskiy, Editor, Modern Trends in Controlled Stochastic Processes: Theory and Applications, Volume II.
    4. Amini, H. and Minca, A. (2013). Mathematical modeling of systemic risk, in Advances in Network Analysis and its Applications, Editor: Kranakis, E., Springer Berlin Heidelberg, 2013, volume 18 of Mathematics in Industry, pages 3--26.
    5. Amini H, Cont R, Minca A (2012). Stress Testing the Resilience of Financial Networks, in: Finance at Fields, Editor(s): Grasselli, Hughston, World Scientific Publishing Company, 2012, Pages: 17-36.

    Thesis


    1. Minca, A. (2011). Mathematical modeling of financial contagion, PhD Thesis, Paris 6 Pierre et Marie Curie University.


Contact Information

Andreea Minca
Cornell University
222 Rhodes Hall
Ithaca, NY 14853

(607) 255-9133 - phone
(607) 255-9129 - fax