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Office of Financial Research 2012 Annual Report

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  • Office of Financial Research

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  • Office of Financial Research (ed.), 2012. "Office of Financial Research 2012 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 12-1, May.
    • Handle: RePEc:ofr:report:12-1
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    File URL: https://financialresearch.gov/annual-reports/files/office-of-financial-research-annual-report-2012.pdf
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    References listed on IDEAS

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    1. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410, Central Bank of Chile.
    2. Galbiati, Marco & Soramäki, Kimmo, 2011. "An agent-based model of payment systems," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 859-875, June.
    3. Beverly Hirtle & Til Schuermann & Kevin J. Stiroh, 2009. "Macroprudential supervision of financial institutions: lessons from the SCAP," Staff Reports 409, Federal Reserve Bank of New York.
    4. Luca Arciero & Claudia Biancotti & Leandro D'Aurizio & Claudio Impenna, 2009. "Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 12(1), pages 1-2.
    5. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    6. Evanoff, Douglas D. & Kaufman, George G. & Malliaris, A. G. (ed.), 2012. "New Perspectives on Asset Price Bubbles," OUP Catalogue, Oxford University Press, number 9780199844401.
    7. Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2013. "Repo and Securities Lending," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 131-148, National Bureau of Economic Research, Inc.
    8. Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015. "The Financial Stress Index: Identification of Systemic Risk Conditions," Risks, MDPI, vol. 3(3), pages 1-25, September.
    9. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    10. Miss Liliana B Schumacher & Mr. Theodore M. Barnhill, 2011. "Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information," IMF Working Papers 2011/263, International Monetary Fund.
    11. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    12. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
    13. Evanoff, Douglas D. & Kaufman, George G. & Malliaris, A. G. (ed.), 2012. "New Perspectives on Asset Price Bubbles," OUP Catalogue, Oxford University Press, number 9780199844333.
    14. Christian Laux & Christian Leuz, 2010. "Did Fair-Value Accounting Contribute to the Financial Crisis?," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 93-118, Winter.
    15. International Monetary Fund, 2010. "United States: Publication of Financial Sector Assessment Program Documentation: Financial System Stability Assessment," IMF Staff Country Reports 2010/247, International Monetary Fund.
    16. Timothy Bianco & Mikhail V. Oet & Stephen J. Ong, 2012. "The Cleveland financial stress index," Economic Commentary, Federal Reserve Bank of Cleveland, issue Mar.
    17. Scott Brave & R. Andrew Butters, 2012. "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 191-239, June.
    18. van den End, Jan Willem & Tabbae, Mostafa, 2012. "When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour," Journal of Financial Stability, Elsevier, vol. 8(2), pages 107-120.
    19. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
    20. Mark J. Flannery & Paul Glasserman & David K.A. Mordecai & Cliff Rossi, 2012. "Forging Best Practices in Risk Management," Working Papers 12-02, Office of Financial Research, US Department of the Treasury.
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    Cited by:

    1. Nyman, Rickard & Kapadia, Sujit & Tuckett, David, 2021. "News and narratives in financial systems: Exploiting big data for systemic risk assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    2. Mark D. Flood & Jonathan Katz & Stephen J. Ong & Adam Smith, 2013. "Cryptography and the economics of supervisory information: balancing transparency and confidentiality," Working Papers (Old Series) 1312, Federal Reserve Bank of Cleveland.
    3. Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013. "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 16-29.
    4. Douglas J. Elliott & Greg Feldberg & Andreas Lehnert, 2013. "The History of Cyclical Macroprudential Policy in the United States," Working Papers 13-08, Office of Financial Research, US Department of the Treasury.
    5. Glasserman, Paul & Young, H. Peyton, 2015. "How likely is contagion in financial networks?," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 383-399.
    6. Office of Financial Research (ed.), 2013. "Office of Financial Research 2013 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 13-2, May.

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