Printed from https://ideas.repec.org/s/ofr/wpaper.html
Content
2021
- 21-03 Counterparty Choice, Bank Interconnectedness, and Systemic Risk
by Andrew Ellul & Dasol Kim - 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 Kruttli & Phillip Monin & Sumudu 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 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 & Nathan Palmer & Adam Minson & 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 J. 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 & Jessie Jiaxu Wang - 16-12 Contagion in the CDS Market
by Mark Paddrik & 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 & 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 & Dror Y. Kenett & Richard Bookstaber & 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 the Repo Market
by Benjamin Munyan - 15-21 Contagion in Financial Markets
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 of Liquidity
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 & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett - 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 Using proprietary credit default swap (CDS) data from 2010 to 2014, I show that capital fluctuations for sellers of CDS protection are an important determinant of CDS spread movements. I first establish that markets are dominated by a handful of net protection sellers, with five sellers accounting for nearly half of all net selling. In turn, a reduction in their total capital increases CDS spreads. Capital fluctuations of the largest five sellers account for over 10 percent of the time-series variation in spread changes, a significant amount given that observable firm and macroeconomic factors account for less than 17 percent of variation during this time period. I then demonstrate that the concentration of sellers creates fragility -- higher concentration results in more volatile risk premiums. I also employ a number of complementary approaches to address identification, such as using the 2011 Japanese tsunami as an exogenous shock to the risk bearing capacity of CDS traders. My findings are consistent with asset pricing models with limited investment capital, but also suggest that both the level and distribution of capital are crucial for accurately describing price dynamics
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
- 13-12 Common Ground: The Need for a Universal Mortgage Loan Identifier
by Matthew McCormick & Lynn Calahan - 13-11 Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality
by Mark Flood & Jonathan Katz & Stephen Ong & Adam Smith - 13-10 Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future
by Rick Bookstaber & Jill Cetina & Greg Feldberg & Mark Flood & Paul Glasserman - 13-09 How Likely is Contagion in Financial Networks?
by Paul Glasserman & Peyton Young - 13-08 The History of Cyclical Macroprudential Policy in the United States
by Douglas J. Elliott & Greg Feldberg & Andreas Lehnert - 13-07 Stress Scenario Selection by Empirical Likelihood
by Paul Glasserman & Chulmin Kang & Wanmo Kang - 13-06 Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach
by Ozgur Akay & Zeynep Senyuz & Emre Yoldas - 13-05 Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty
by Mark D. Flood & George G. Korenko - 13-04 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