Agostino Capponi, Ph.D.

Assistant Professor

IEOR Department

Columbia University


Office: Mudd 316

Email: ac3827 at columbia dot edu
Phone: 212-854-4334



California Institute of Technology. Ph.D. in Computer Science and Applied and Computational Mathematics, June 2009.

Research Interests

  • Networks and Systemic Risk
  • Counterparty Risk
  • Robust Control and Sequential Failures

Grants and Awards

  • Institute for New Economic Thinking (2013-2014): “Dynamic Contagion Mechanisms in Financial Networks “
  • Global Risk Institute (2015-2016): “Centralized Trading: Collateral, Risk Shifting, and Competition”
  • MIT Center for Finance and Policy and the Harvard Crowd Innovation Laboratory SIFI Challenge (2016). Regular Prize winner.
  • Bar-Ilan General Prize in Financial Mathematics (2016).



·   Networks and Systemic Risk

Collateral Levels and Centralized Trading (with W.A. Cheng). (preprint)


Asset Value Dynamics under Central Clearing. (with W.A. Cheng and S. Rajan). Preprint available at (preprint). Press coverage: Reuters, Value walk, American Banker


Systemic Influences on Optimal Equity-Credit Investment. (with C. Frei). Management Science, Forthcoming. (preprint)

Price Contagion through Balance Sheet Linkages. (with M. Larsson). Review of Asset Pricing Studies, Vol. 5, No. 2, p. 227-253, 2015.

Liability Concentration and Losses in Financial Networks. (with P.C. Chen and D. Yao). Operations Research, Forthcoming. (preprint)

Default and Systemic Risk in Equilibrium. (with M. Larsson). Mathematical Finance, Vol. 25, No.1, pp. 51-76, 2015.

Systemic Risk Mitigation in Financial Networks. (with P.C. Chen) Journal of Economic Dynamics and Control, Vol. 58, No. 15, pp. 152-166, 2015.


Systemic Risk in Interbanking Networks. (with L. Bo) SIAM Journal of Financial Mathematics, Vol. 6, No. 1, pp. 386-424, 2015 (winner of the Bar-Ilan General Prize in Financial Mathematics)


·    Control of Failure-Prone Complex Systems

Robust Optimization of Credit Portfolios (with L. Bo). Mathematics of Operations Research, Forthcoming, 2015. (preprint)


Dynamic Credit Investment in Partially Observed Markets. (with J.E. Figueroa-Lopez and A. Pascucci) Finance and Stochastics, Vol. 19, N.4, 891-939, 2015

Optimal Investment in Credit Derivatives Portfolio under Contagion Risk. (with L. Bo) Mathematical Finance, Forthcoming. (preprint)

Dynamic Portfolio Optimization with a Defaultable Security and Regime-Switching Markets (with J. E. Figueroa-Lopez) Mathematical Finance, Vol. 24, N.2, 207-249, 2014.


·   Counterparty Risk

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with L. Bo) Finance and Stochastics, Vol.18, N.2, pp.431-482, 2014.


Arbitrage-Free Bilateral Counterparty Risk Valuation under Collateralization and Application to Credit Default Swaps (with D. Brigo and A.Pallavicini ) Mathematical Finance, Vol. 14, N. 1, pp.125-146, 2014. Short version published in Risk Magazine, March, 2010.


Counterparty Risk for CDS: Default Clustering Effects (with L. Bo) Journal of Banking and Finance, Vol. 52, pp. 29-42, 2015.


Pricing Vulnerable Claims in a Lévy driven model. (with S. Pagliarani and T. Vargiolu) Finance and Stochastics, Vol. 18, No. 4, pp. 775-789, 2014.


Pricing and Semi-Martingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets (with J.E. Figueroa Lopez and J. Nisen) Mathematical Finance, Vol. 24, No.2, 250-288, 2014.



·   Optimal Contracting and Filtering


Dynamic Contracting: Accident leads to Nonlinear Contracts (with C. Frei). SIAM Journal of Financial Mathematics, Vol. 6, No.1, 959-983, 2015.


Optimal Contracting with Effort and Misvaluation (with J. Cvitanic and T. Yolcu) Mathematics and Financial Economics, Vol. 7, N.1, pp. 93-128, 2013.

A Variational Approach to Contracting under Imperfect Observations (with J. Cvitanic and T. Yolcu). SIAM Journal of Financial Mathematics, Vol. 3, No. 1, pp. 605-638, 2012.

Stochastic Filtering for Diffusion Processes with Level Crossings. (with I. Fatkullin and L. Shi). IEEE Transactions on Automatic Control, Vol. 56, pp. 2201-2206, 2011.

A Convex Optimization Approach to Filtering in Jump Systems with State Dependent Transition Probabilities. Automatica Elsevier, Vol. 46, pp. 383-389, 2010.

Credit Risk Modeling with Misreporting and Incomplete Information. International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, 2009.


       Book Chapters, Practitioner and Policy Papers


Capital and Resolution Policies: The US Interbank Market (with. J. Doolely, M. Oet, and S. Ong). Journal of Financial Stability, Special Issue from the Federal Reserve Bank of Cleveland-Office of Financial Research 2014 Financial Stability Conference. Forthcoming. (preprint)

Measuring Portfolio Counterparty Risk. Creditflux, May 2014.

Pricing and Mitigation of Counterparty Credit Exposures.  Handbook of Systemic Risk, edited by J.-P. Fouque and J. Langsam. Cambridge University Press, 2013.

Liquidity Modeling for Credit Default Swaps: an overview (with D. Brigo and M.Pedrescu) Credit Risk Frontiers. The suprime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, edited by T. Bielecki, D. Brigo and F. Patras. Bloomberg Press, Wiley, 2012. (Preprint)

Bilateral Credit Valuation Adjustment with Application to Credit Default Swaps (with D. Brigo) Measuring and Managing Capital, edited by M. Ong, Risk Books, 2012.