Agostino Capponi

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.