Agostino Capponi


535G S.W. Mudd 

Tel(212) 854-4334x1

Research Interests

Financial networks, systemic risk, counterparty risk, clearinghouses, fixed income portfolio selection, market microstructure and high-frequency trading

Capponi, who is also a member of Columbia’s Institute for Data Science and Engineering, develops probabilistic models to measure and mitigate systemic risk. He develops game theoretical and control methodologies to analyze the risk incentives of financial institutions, and the impact of their behavior on the real economy and society.

Capponi serves as a consultant for the Office of the Chief Economist at the U.S. Commodity Futures Trading Commission. He has collaborated and has on-going collaborations with several governmental entities including the U.S. Commodity Futures Trading Commission, the Federal Reserve Board of Governors, the Federal Reserve Bank of New York, and the Office of Financial Research.

Capponi received a BS, magna cum laude, in information science from the University of Rome “La Sapienza,” Italy, in 2001 and a PhD in computing and mathematical sciences from the California Institute of Technology in 2009. In 2016, he was awarded the Bar-Ilan Prize for research in financial mathematics, and honorable mention from the MIT Center for Finance and Policy, and the Harvard Crowd Innovation Laboratory for his research in systemic risk and financial stability.

He has received research grants from DARPA (2016–2017), the Global Risk Institute (2016–2018), and the Institute for New Economic Thinking (2013–2014). 



  • 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.