Andreea C. Minca
Andreea Minca is an Associate Professor in the School of Operations Research and Information Engineering at Cornell University. Andreea Minca received her PhD in Applied Mathematics from the University Paris 6 Pierre et Marie Curie in 2011. Prior to that, she received a M.S. in Probability and Finance from the University Paris 6 Pierre et Marie Curie and "Diplôme de l'Ecole Polytechnique".
Her research focuses on mathematical modeling in finance, within the areas of systemic risk, liquidity risk and credit risk. She is particularly interested in structural models for systemic risk, using networks to represent various types of interrelations among financial institutions. Her work has been published in leading journals such as Mathematical Finance and Finance & Stochastics.
Andreea's research interests include financial networks, control of epidemics in random graphs, credit risk and liquidity risk.
- 2012. "When do creditors with heterogeneous beliefs agree to run?." Finance and Stochastics. .
- 2016. "Resilience to contagion in financial networks." Mathematical Finance 26 (2): 329-365. .
- 2013. "Recovering portfolio default intensities implied by CDO quotes." Mathematical Finance 23 (1): 94-121. .
- 2012. "Stress testing the resilience of financial networks." International Journal of Theoretical and Applied Finance 15 (1): 1250006-1 - 1250006-20. .
- 2014. "Optimal control of interbank contagion under complete information." Statistics and Risk Modeling 31 (1): 23-48. .
Selected Awards and Honors
- NSF Faculty Early Career Development (CAREER) 2017
- SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize (SIAM) 2016
- Global Association of Risk Professionals Fellow (GARP) 2014
- Andrew Schultz '36 PhD'41 Sesquicentennial Fellow (Cornell University) 2012
- Natixis Foundation for Quantitative Research Fellowship (Natixis Foundation) 2008
- BS (Engineering), Ecole Polytechnique, 2007
- MS (Probability and Finance), Ecole Polytechnique, 2008
- Ph D (Applied Mathematics), Paris VI Pierre Et Marie Curie University, 2011