Industrial Engineering and Operations Research
Agostino Capponi’s theoretical work on systemic risk and financial networks is influential among academicians, practitioners, and policymakers. His research contributes to a better understanding of risk management practices and to the design of regulatory policies aiming for financial stability.
- Research Assistant, computing and mathematical sciences, California Institute of Technology, 2004 – 2009
- Assistant Professor, Industrial Engineering and Operations Research, Columbia University, 2014–
- Assistant Professor, Applied Mathematics and Statistics, Johns Hopkins University, 2013–2014
- Visiting Assistant Professor, Swiss Institute of Finance, École Polytechnique Fédérale de Lausanne, June – July 2011
- Assistant Professor, Industrial Engineering, Purdue University 2010–2013
- Full-time Associate, Derivatives Analysis, Goldman Sachs International, London, U.K., 2009 – 2010
- Econometric Society, International Association for Quantitative Finance
- Institute for Operations Research and the Management Sciences (INFORMS)
- Society for Industrial and Applied Mathematics (SIAM)
- Bachelier Finance Society
- Bar-Ilan Prize for research in financial mathematics, 2016
- Institute for New Economic Thinking Award, 2013–2014
- Marie Curie fellowship, 2003–2004
- Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability (with B. Bernard and J. Stiglitz). Preprint available on SSRN.
- Risk Sensitive Asset Management and Cascading Defaults (with J. Birge and L. Bo). Mathematics of Operations Research, Forthcoming.
- Systemic Influences on Optimal Equity-Credit Investment (with C. Frei). Management Science, Forthcoming.
- Liability Concentration and Losses in Financial Networks. (with P.C. Chen and D. Yao). Operations Research 64 (5), 1121-1134.
- Arbitrage-Free Bilateral Counterparty Risk Valuation under Collateralization and Application to Credit Default Swaps. Mathematical Finance 24 (1), 125-146.