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Andreea C. Minca

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  • Andreea C. Minca
  • Dept: Operations Research and Information Engineering
  • Title: Andrew Schultz '36 PhD'41 Sesquicentennial Fellow
  • Address: 222 Frank HT Rhodes Hall
  • Phone: 607 255-9133
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Andreea Minca joined the School of Operations Research and Information Engineering in August 2011. She received her PhD in Applied Mathematics form Pierre et Marie Curie University in Paris, France in 2011. In 2008, she earned a M.S. in Probability and Finance and the «Diplôme de l'Ecole Polytechnique». During her PhD studies she was a member of the Mathematical Finance team at INRIA Rocquencourt, funded by a grant from the Natixis Foundation for Quantitative Research.

Her research is focused on the mathematical modeling of default of financial institutions in the context of a banking system. During her thesis, she introduced a mathematical framework for understanding systemic risk via network analysis and tools drawn from random graph theory.

Her research interests include financial networks, control of epidemics in random graphs, credit risk and liquidity risk.

Selected Publications

  • Cont, Rama, Andreea C. Minca. 2013. "Recovering portfolio default intensities implied by CDO quotes." Mathematical Finance 23 (1): 94-121.
  • Amini, H., R. Cont, Andreea C. Minca. 2013. "Resilience to contagion in financial networks." Mathematical Finance .
  • Hamed, Amini, Rama Cont, Andreea C. Minca. 2012. "Stress testing the resilience of financial networks." International Journal of Theoretical and Applied Finance 15 (1): 1250006-1 - 1250006-20.
  • Minca, Andreea C. 2011. "Mathematical modeling of default contagion".
  • Amini, H., Andreea C. Minca. 2013. "Mathematical Modeling of Systemic Risk." In Advances in Network Analysis and its Applications , edited by E. Kranakis , 3-26. New York: Springer Berlin Heidelberg.

Selected Awards and Honors

  • Andrew Schultz '36 PhD'41 Sesquicentennial Fellow (Cornell University) 2012
  • Natixis Foundation for Quantitative Research Fellowship (Natixis Foundation) 2008

Websites

Education

  • BS (Engineering), Ecole Polytechnique, 2007
  • MS (Probability and Finance), Ecole Polytechnique, 2008
  • Ph D (Applied Mathematics), Paris VI Pierre Et Marie Curie University, 2011