Printed from https://ideas.repec.org/s/ofr/wpaper.html
Content
2024
- 24-09 Central Clearing and Trade Cancellation: The Case of LME Nickel Contracts on March 8, 2022
by John Heilbron - 24-08 Does lock-up lead to stability?
by Samuel Hempel & Gregory Phelan & Thomas Ruchti - 24-07 The Who and How of Hedge Fund Risk Shifting
by Spencer Andrews & Salil Gadgil - 24-06 What’s at Stake? Understanding the Role of Home Equity in Flood Insurance Demand
by Philip Mulder & Yanjun Liao - 24-05 Global Banks and Natural Disasters
by Francisco E. Ilabaca & Robert Mann & Philip Mulder - 24-04 Do Credit Default Swaps Still Lead? The Effects of Regulation on Price Discovery
by Salil Gadgil - 24-03 Bank Competition and Strategic Adaptation to Climate Change
by Dasol Kim & Luke M. Olson & Toan Phan - 24-02 The Value of Lending Relationships
by Thomas Ruchti & Andrew Bird & Stephen A. Karolyi & Michael Hertzel - 24-01 Intermediation Networks and Derivative Market Liquidity: Evidence from CDS Markets
by Mark Paddrik & Stathis Tompaidis
2023
- 23-10 Crash Narratives
by Dasol Kim & William Goetzmann & Robert Shiller - 23-09 Trend Inflation Under Bounded Rationality
by Francisco E. Ilabaca & Greta Meggiorini - 23-08 Are Short-selling Restrictions Effective?
by Thomas Ruchti & Yashar Barardehi & Andrew Bird & Stephen A. Karolyi - 23-07 The Transition to Alternative Reference Rates in the OFR Financial Stress Index
by Jeremy Bejarano - 23-06 Technology Shocks and Predictable Minsky Cycles
by Gregory Phelan & Jean-Paul L’Huillier & Hunter Wieman - 23-05 Sustainability with Risky Growth
by Gregory Phelan & David Love - 23-04 Anatomy of the Repo Rate Spikes in September 2019
by R. Jay Kahn & Matthew McCormick & Vy Nguyen & Mark Paddrik & H. Peyton Young - 23-03 Can Supply Shocks be Inflationary with a Flat Phillips Curve?
by Jean-Paul L’Huillier & Gregory Phelan - 23-02 Fragility of Safe Assets
by Thomas M. Eisenbach & Gregory Phelan - 23-01 Digital Currency and Banking-Sector Stability
by William Chen & Gregory Phelan
2022
- 22-06 Counterparty Choice, Bank Interconnectedness, and Bank Risk-taking
by Andrew Ellul & Dasol Kim - 22-05 Hedge Funds and Treasury Market Price Impact: Evidence from Direct Exposures
by Ron Alquist & Ram Yamarthy - 22-04 Central Bank Digital Currency: Stability and Information
by Todd Keister & Cyril Monnet - 22-03 Cash-Hedged Stock Returns
by Chase P. Ross & Landon J. Ross & Sharon Y. Ross - 22-02 Aggregate Risk in the Term Structure of Corporate Credit
by Johannes Poeschl & Ram Yamarthy - 22-01 Financial Intermediary Funding Constraints and Segmented Markets
by Samuel J. Hempel & Dasol Kim & Russ Wermers
2021
- 21-02 Assessing the Safety of Central Counterparties
by Mark Paddrik & H. Peyton Young - 21-01 Hedge Funds and the Treasury Cash-Futures Disconnect
by Daniel Barth & R. Jay Kahn
2020
- 20-05 Credit Risk and the Transmission of Interest Rate Shocks
by Berardino Palazzo & Ram Yamarthy - 20-04 Central Counterparty Default Waterfalls and Systemic Loss
by Mark Paddrik & Simpson Zhang - 20-03 Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds
by Daniel Barth & Phillip Monin - 20-02 Leverage and Risk in Hedge Funds
by Daniel Barth & Laurel Hammond & Phillip Monin - 20-01 The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think
by Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers
2019
- 19-04 Cross-Asset Market Order Flow, Liquidity, and Price Discovery
by Robert Garrison & Pankaj Jain & Mark Paddrik - 19-03 The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks
by Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala - 19-02 The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption
by Meraj Allahrakha & Jill Cetina & Benjamin Munyan & Sumudu Watugala - 19-01 Market-Making Costs and Liquidity: Evidence from CDS Markets
by Mark Paddrik & Stathis Tompaidis
2018
- 18-06 Reducing Moral Hazard at the Expense of Market Discipline: The Effectiveness of Double Liability Before and During the Great Depression
by Haelim Anderson & Daniel Barth & Dong Beom Choi - 18-05 OTC Intermediaries
by Andrea L. Eisfeldt & Bernard Herskovic & Sriram Rajan & Emil Siriwardane - 18-04 Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs
by Agostino Capponi & Paul Glasserman & Marko Weber - 18-03 Reputational Dynamics in Financial Networks During a Crisis
by Simpson Zhang & Mihaela van der Schaar - 18-02 Competitive Pay and Excessive Manager Risk-taking
by Jen-Wen Chang & Simpson Zhang - 18-01 The OFR Financial System Vulnerabilities Monitor
by Joe McLaughlin & Adam Minson & Nathan Palmer & Eric Parolin
2017
- 17-07 Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds
by Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala - 17-06 How Safe are Central Counterparties in Derivatives Markets?
by Mark Paddrik & H. Peyton Young - 17-05 The Intersection of U.S. Money Market Mutual Fund Reforms, Bank Liquidity Requirements, and the Federal Home Loan Bank System
by Kenechukwu Anadu & Viktoria Baklanova - 17-04 The OFR Financial Stress Index
by Phillip Monin - 17-03 The Complexity of Bank Holding Companies: A New Measurement Approach
by Mark D. Flood & Dror Y. Kenett & Robin L. Lumsdaine & Jonathan K. Simon - 17-02 Europe's CoCos Provide a Lesson on Uncertainty
by Katherine Gleason & Steve Bright & Francis Martinez & Charles Taylor - 17-01 Persistence and Procyclicality in Margin Requirements
by Paul Glasserman & Qi Wu
2016
- 16-14 Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks
by Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang - 16-13 Bank Networks and Systemic Risk: Evidence from the National Banking Acts
by Mark Paddrik & Haelim Park & Jessie Jiaxu Wang - 16-12 Contagion in the CDS Market
by Mark Paddrik & Sriram Rajan & H. Peyton Young - 16-11 Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market
by Meraj Allahrakha & Jill Cetina & Benjamin Munyan - 16-10 The Market-implied Probability of European Government Intervention in Distressed Banks
by Richard Neuberg & Paul Glasserman & Benjamin Kay & Sriram Rajan - 16-09 Interconnectedness in the Global Financial Market
by Matthias Raddant & Dror Y. Kenett - 16-08 A Pilot Survey of Agent Securities Lending Activity
by Viktoria Baklanova & Cecilia Caglio & Frank Keane & Burt Porter - 16-07 Does OTC Derivatives Reform Incentivize Central Clearing?
by Samim Ghamami & Paul Glasserman - 16-06 A Map of Collateral Uses and Flows
by Andrea Aguiar & Richard Bookstaber & Dror Y. Kenett & Thomas Wipf - 16-05 The Real Consequences of Bank Mortgage Lending Standards
by Cindy M. Vojtech & Benjamin S. Kay & John C. Driscoll - 16-04 Does Unusual News Forecast Market Stress?
by Harry Mamaysky & Paul Glasserman - 16-03 Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884
by John Bluedorn & Haelim Park - 16-02 Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios
by Mark D. Flood & Phillip Monin - 16-01 Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets
by Jill Cetina & Mark Paddrik & Sriram Rajan
2015
- 15-23 Safe Assets as Commodity Money
by Maya Eden & Benjamin Kay - 15-22 Regulatory Arbitrage in Repo Markets
by Benjamin Munyan - 15-21 Contagion in Financial Networks
by Paul Glasserman & H. Peyton Young - 15-20 The Difficult Business of Measuring Banks' Liquidity: Understanding the Liquidity Coverage Ratio
by Jill Cetina & Katherine Gleason - 15-19 Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios
by Jingnan Chen & Mark D. Flood & Richard B. Sowers - 15-18 An Agent-based Model for Crisis Liquidity Dynamics
by Richard Bookstaber & Mark Paddrik - 15-17 Reference Guide to U.S. Repo and Securities Lending Markets
by Viktoria Baklanova & Adam Copeland & Rebecca McCaughrin - 15-16 Bounding Wrong-Way Risk in Measuring Counterparty Risk
by Paul Glasserman & Linan Yang - 15-15 How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics
by Chester Curme & Rosario N. Mantegna & Dror Y. Kenett & Michele Tumminello & H. Eugene Stanley - 15-14 Economic Uncertainty and Commodity Futures Volatility
by Sumudu W. Watugala - 15-13 Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures
by Mark D. Flood & Phillip Monin & Lina Bandyopadhyay - 15-12 Dynamical Macroprudential Stress Testing Using Network Theory
by Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin - 15-11 Systemwide Commonalities in Market Liquidity
by Mark D. Flood & John C. Liechty & Thomas Piontek - 15-10 Are the Borrowing Costs of Large Financial Firms Unusual?
by Javed Ahmed & Christopher Anderson & Rebecca Zarutskie - 15-09 The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads
by Jill Cetina & Bert Loudis - 15-08 Systemic Risk: The Dynamics under Central Clearing
by Agostino Capponi & W. Allen Cheng & Sriram Rajan - 15-07 Hidden Illiquidity with Multiple Central Counterparties
by Paul Glasserman & Ciamac C. Moallemi & Kai Yuan - 15-06 The Effect of Negative Equity on Mortgage Default: Evidence from HAMP PRA
by Therese C. Scharlemann & Stephen H. Shore - 15-05 Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve System
by Charles W. Calomiris & Matthew Jaremski & Haelim Park & Gary Richardson - 15-04 Contract as Automaton: The Computational Representation of Financial Agreements
by Mark D. Flood & Oliver R. Goodenough - 15-03 Market Liquidity and Heterogeneity in the Investor Decision Cycle
by Richard Bookstaber & Michael D. Foley & Brian F. Tivnan - 15-02 Are the Federal Reserve's Stress Test Results Predictable?
by Paul Glasserman & Gowtham Tangirala - 15-01 Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks
by Richard Bookstaber & Paul Glasserman & Garud Iyengar & Yu Luo & Venkat Venkatasubramanian & Zhizun Zhang
2014
- 14-10 Concentrated Capital Losses and the Pricing of Corporate Credit Risk
by Emil Siriwardane - 14-09 Effects of Limit Order Book Information Level on Market Stability Metrics
by Mark Paddrik & Roy Hayes & William Scherer & Peter Beling - 14-08 Hedging Market Risk in Optimal Liquidation
by Phillip Monin - 14-07 Structural GARCH: The Volatility-Leverage Connection
by Robert Engle & Emil Siriwardane - 14-06 Design of Risk Weights
by Paul Glasserman & Wanmo Kang - 14-05 An Agent-based Model for Financial Vulnerability
by Rick Bookstaber & Mark Paddrik & Brian Tivnan - 14-04 Shadow Banking: The Money View
by Zoltan Pozsar - 14-03 A Map of Funding Durability and Risk
by Andrea Aguiar & Rick Bookstaber & Thomas Wipf - 14-02 The Application of Visual Analytics to Financial Stability Monitoring
by Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong - 14-01 Competition in Lending and Credit Ratings
by Javed I. Ahmed
2013
- 13-09 Common Ground: The Need for a Universal Mortgage Loan Identifier
by Matthew McCormick & Lynn Calahan - 13-08 Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality
by Mark Flood & Jonathan Katz & Stephen Ong & Adam Smith - 13-07 Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future
by Rick Bookstaber & Jill Cetina & Greg Feldberg & Mark Flood & Paul Glasserman - 13-06 How Likely is Contagion in Financial Networks?
by Paul Glasserman & H. Peyton Young - 13-05 The History of Cyclical Macroprudential Policy in the United States
by Douglas J. Elliott & Greg Feldberg & Andreas Lehnert - 13-04 Stress Scenario Selection by Empirical Likelihood
by Paul Glasserman & Chulmin Kang & Wanmo Kang - 13-03 Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach
by Ozgur (Ozzy) Akay & Zeynep Senyuz & Emre Yoldas - 13-02 Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty
by Mark D. Flood & George G. Korenko - 13-01 CoCos, Bail-in, and Tail Risk
by Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger
2012
- 12-03 Using Agent-Based Models for Analyzing Threats to Financial Stability
by Richard Bookstaber - 12-02 Forging Best Practices in Risk Management
by Mark J. Flannery & Paul Glasserman & David K.A. Mordecai & Cliff Rossi - 12-01 A Survey of Systemic Risk Analytics
by Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis