Networks, Systemic Risk, and Financial Stability
Are supply networks efficiently resilient? (with C. Du, and J. Stiglitz), 2025. (preprint).

Pricing CRT Bonds (with S. Van Nieuwerburgh and X. Wu), 2025. Working paper.

Swing Pricing: Theory and Evidence (with P. Glasserman and M. Weber). Annual Review of Financial Economics, Vol. 15, 617-640, 2023.

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability (with B. Bernard and J. Stiglitz). (NBER). Journal of Political Economy, 130, No. 7, 1805-–1859, 2022. Press coverage: Vox, Financial Times

The Collateral Rule: Evidence from the Credit Default Swap Market. (with Allen Cheng, Chuan Du, Stefano Giglio, and Richard Haynes). Journal of Monetary Economics, Vol. 126, 58-86, 2022. Online appendix available here

Stress Testing Spillover Risk in Mutual Funds (with P. Glasserman and M. Weber). (preprint). Forthcoming at Management Science. 

Optimal Bailouts and the Doom Loop with a Financial Network (with F. Corell and J. Stiglitz). Journal of Monetary Economics, Vol. 128, 35-50, 2022.

Counterparty Risk in Over-the-Counter Markets (with C. Frei and C. Brunetti). Journal of Financial and Quantitative Analysis, Vol. 57, No. 3, 1058-1082, 2022. Earlier version appeared in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System

Disruption and Rerouting in Supply Chain Networks (with. J. Birge and P.C. Chen). Operations Research, Vol. 71, No. 2, 750–767, 2023. Third Place at the Best Paper Award Competition of the 2021 Post-Pandemic Supply Chain and Healthcare Management conference

Systemic Risk driven Portfolio Selection (with A. Rubtsov). Operations Research, Vol. 70, No. 3, 1293-1952, 2022.

Systemic Portfolio Diversification (with M. Weber). Operations Research, Vol. 72, No. 1, 110–131, 2024.

A Theory of Collateral Requirements for Central Counterparties (with J. Wang and H. Zhang). Management Science, Vol. 68, No. 9, 6355-7064, 2022. Press Coverage (OBLB)

The Effect of Mortgage Forbearance on Refinancing: Evidence from the CARES Act (with R. Jia and D.A. Rios). CEPR Covid Economics, No. 68, 10 February 2021. (preprint)

Market Efficient Portfolios in a Systemic Economy (with K. Awiszus and S. Weber). Operations Research, Vol. 70, No. 2, 715–728, 2022.

Multiregional Oligopoly with Capacity Constraints (with. H. Alsabah, B. Bernard, G. Iyengar, and J. Sethuraman). Management Science. Vol. 67, No. 8, 4643-5300, 2021. Finalist at the 2019 INFORMS Doing Good with Good OR Best Paper
  
Virtual Trading in a Multi-Settlement Electricity Market (with G. Iyengar, B. Yang, and D. Bienstock), 2023. (preprint)

Firm Capital Dynamics in Centrally Cleared Markets (with W.A. Cheng and S. Rajan).   Mathematical Finance. Vol 30, No. 2, 664-701, 2020. Press coverage: Reuters, American Banker

 A Dynamic Network Model of Interbank Lending: Systemic Risk and Liquidity Provisioning (with X. Sun and D. Yao). Mathematics of Operations Research. Vol. 45, No. 3, August 2020, 1127–1152. Finalist at the 2017 INFORMS Finance Services Student best paper competition

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs (with P. Glasserman and M. Weber). Management Science. Vol. 66, No. 8, August 2020, 3581–3602

Clearinghouse Margin Requirements (with W.A. Cheng). Operations Research, Vol. 66, No. 6, 1542-1558, 2018.

Systemic Influences on Optimal Equity-Credit Investment. (with C. Frei). Management Science, Vol. 63, No. 8, 2756-2771, 2017. 

Systemic Risk in Interbanking Networks. (with L. Bo). SIAM Journal of Financial Mathematics, Vol. 6, No. 1, 386-424, 2015. Featured Article

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

Liability Concentration and Losses in Financial Networks. (with P.C. Chen and D. Yao). Operations Research, Vol. 64, No. 5, 1121-1134, 2016.

Systemic Risk Mitigation in Financial Networks. (with P.C. Chen). Journal of Economic Dynamics and Control, Vol. 58, 152-166, 2015

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