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SSRN eLibrary Search Results
Office of Financial Research
7,389 Total downloads
Showing Papers 1 - 38 of 38
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Europe's CoCos Provide a Lesson on UncertaintyOFR WP 17-02 Katherine I Gleason, Steve Bright, Francis Martinez and Charles Taylor Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: May 09, 2017 Working Paper Series 61 downloads
Bank Networks and Systemic Risk: Evidence from the National Banking ActsOFR WP 16-13 Mark E. Paddrik, Haelim Park and Jessie Jiaxu Wang Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Arizona State University (ASU) - W.P. Carey School of Business Date Posted: March 21, 2017 Working Paper Series 25 downloads
Persistence and Procyclicality in Margin RequirementsOFR WP 17-01, Columbia Business School Research Paper No. 17-34 Paul Glasserman and Qi Wu Columbia Business School and Chinese University of Hong Kong Date Posted: March 21, 2017 Working Paper Series 45 downloads
Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed NetworksOFR WP 16-14 Anqi Liu, Mark E. Paddrik, Steve Y. Yang and Xingjia Zhang Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, Stevens Institute of Technology and Stevens Institute of Technology Date Posted: December 22, 2016 Working Paper Series 50 downloads
Contagion in the CDS MarketOFR WP 16-12 Mark E. Paddrik, Sriram Rajan and Peyton Young Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: December 06, 2016 Working Paper Series 68 downloads
Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo MarketOFR WP 16-11 Meraj Allahrakha, Jill Cetina and Benjamin Munyan Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Vanderbilt University - Finance Date Posted: November 14, 2016 Working Paper Series 56 downloads
The Market-Implied Probability of European Government Intervention in Distressed BanksOFR WP 16-10, Columbia Business School Research Paper No. 16-73 Richard Neuberg, Paul Glasserman, Benjamin S. Kay and Sriram Rajan Columbia University - Department of Statistics, Columbia Business School, U.S. Treasury Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: October 12, 2016 Last Revised: December 10, 2016 Working Paper Series 72 downloads
Interconnectedness in the Global Financial MarketOFR WP 16-09 Matthias Raddant and Dror Y. Kenett Kiel Institute for the World Economy and Financial Industry Regulatory Authority (FINRA) Date Posted: October 08, 2016 Working Paper Series 95 downloads
A Pilot Survey of Agent Securities Lending ActivityOFR WP 16-08 Viktoria Baklanova, Cecilia Caglio, Frank M. Keane and R. Burt Porter Government of the United States of America - Office of Financial Research, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York and Iowa State University Date Posted: August 25, 2016 Working Paper Series 10 downloads
Does OTC Derivatives Reform Incentivize Central Clearing?OFR WP 16-07, Columbia Business School Research Paper No. 16-59 Samim Ghamami and Paul Glasserman Office of Financial Research, US Department of the Treasury and Columbia Business School Date Posted: August 25, 2016 Working Paper Series 103 downloads
A Map of Collateral Uses and FlowsOFR WP 16-06 Andrea Aguiar, Richard M Bookstaber, Dror Y. Kenett and Thomas Wipf Morgan Stanley, Board of Regents - University of California Office of the CIO, Financial Industry Regulatory Authority (FINRA) and Morgan Stanley Date Posted: May 27, 2016 Working Paper Series 90 downloads
The Real Consequences of Bank Mortgage Lending StandardsOFR WP 16-05 Cindy M. Vojtech, Benjamin S. Kay and John C. Driscoll Federal Reserve Board, U.S. Treasury Office of Financial Research and Federal Reserve Board Date Posted: May 16, 2016 Last Revised: November 15, 2016 Working Paper Series 57 downloads
Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884Journal of Banking and Finance, Forthcoming, OFR WP 16-03 John C. Bluedorn and Haelim Park International Monetary Fund (IMF) - Research Department and Government of the United States of America - Office of Financial Research Date Posted: April 03, 2016 Accepted Paper Series 35 downloads
Form PF and Hedge Funds: Risk-Measurement Precision for Option PortfoliosOFR WP 16-02 Mark D. Flood and Phillip Monin Government of the United States of America - Office of Financial Research and Government of the United States of America, Department of the Treasury, Office of Financial Research Date Posted: March 25, 2016 Working Paper Series 43 downloads
Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS MarketsOFR WP 16-01 Jill Cetina, Sriram Rajan and Mark E. Paddrik Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: March 10, 2016 Working Paper Series 77 downloads
Safe Assets As Commodity MoneyOFR WP 15-23 Maya Eden and Benjamin S. Kay World Bank - Development Research Group (DECRG) and U.S. Treasury Office of Financial Research Date Posted: November 27, 2015 Last Revised: November 15, 2016 Working Paper Series 33 downloads
Regulatory Arbitrage in Repo MarketsOffice of Financial Research Working Paper No. 15-22 Benjamin Munyan Vanderbilt University - Finance Date Posted: November 03, 2015 Last Revised: March 10, 2016 Working Paper Series 127 downloads
Contagion in Financial NetworksOffice of Financial Research Working Paper No. 15-21 Paul Glasserman and Peyton Young Columbia Business School and Government of the United States of America - Office of Financial Research Date Posted: October 29, 2015 Working Paper Series 223 downloads
The Difficult Business of Measuring Banks’ Liquidity: Understanding the Liquidity Coverage RatioOffice of Financial Research Working Paper No. 15-20 Jill Cetina and Katherine I Gleason Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: October 28, 2015 Working Paper Series 153 downloads
Are the Borrowing Costs of Large Financial Firms Unusual?Office of Financial Research Working Paper No. 15-10 Javed Ahmed, Christopher Anderson and Rebecca Zarutskie Board of Governors of the Federal Reserve System, Harvard University and Federal Reserve Board Date Posted: October 06, 2015 Working Paper Series 32 downloads
Common Ground: The Need for a Universal Mortgage IdentifierOffice of Financial Research Working Paper No. 15-12 Matthew McCormick and Lynn Calahan Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: October 06, 2015 Working Paper Series 9 downloads
Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial PortfoliosOffice of Financial Research Working Paper No. 15-19 Jingnan Chen, Mark D. Flood and Richard Sowers University of Illinois at Urbana-Champaign, Government of the United States of America - Office of Financial Research and University of Illinois at Urbana-Champaign - Department of Mathematics Date Posted: October 03, 2015 Working Paper Series 79 downloads
Reference Guide to U.S. Repo and Securities Lending MarketsOffice of Financial Research Working Paper No. 15-17 Viktoria Baklanova, Adam M. Copeland and Rebecca McCaughrin Government of the United States of America - Office of Financial Research, Federal Reserve Bank of New York and International Monetary Fund (IMF) Date Posted: September 23, 2015 Working Paper Series 57 downloads
An Agent-Based Model for Crisis Liquidity DynamicsOffice of Financial Research Working Paper No. 15-18 Richard M Bookstaber and Mark E. Paddrik Board of Regents - University of California Office of the CIO and Government of the United States of America - Office of Financial Research Date Posted: September 23, 2015 Working Paper Series 82 downloads
Dynamical Macroprudential Stress Testing Using Network TheoryOffice of Financial Research Working Paper No. 15-12 Dror Y. Kenett, Sary Levy Carciente, Adam Avakian, H. Eugene Stanley and Shlomo Havlin Financial Industry Regulatory Authority (FINRA), Boston University, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University Date Posted: August 24, 2015 Working Paper Series 109 downloads
Bounding Wrong-Way Risk in Measuring Counterparty RiskOffice of Financial Research Working Paper No. 15-16, Columbia Business School Research Paper No. 15-76 Paul Glasserman and Linan Yang Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR) Date Posted: August 22, 2015 Working Paper Series 85 downloads
How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock DynamicsOffice of Financial Research Working Paper No. 15-15 Chester Curme, Michele Tumminello, Rosario N. Mantegna, H. Eugene Stanley and Dror Y. Kenett Boston University, University of Palermo, Central European University, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA) Date Posted: August 22, 2015 Working Paper Series 134 downloads
The Influence of Systemic Importance Indicators on Banks’ Credit Default Swap SpreadsOffice of Financial Research Working Paper No. 15-09 and Journal of Risk Management in Financial Institutions (volume 9, January 2016) Jill Cetina and Bert Loudis Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research Date Posted: August 22, 2015 Last Revised: November 15, 2016 Working Paper Series 36 downloads
The Effect of Negative Equity on Mortgage Default: Evidence from HAMP PRAOffice of Financial Research Working Paper No. 15-06 Therese C. Scharlemann and Stephen H. Shore Government of the United States of America - Department of the Treasury and Georgia State University Date Posted: August 22, 2015 Working Paper Series 23 downloads
Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve SystemOffice of Financial Research Working Paper No. 15-05, Columbia Business School Research Paper No. 15-75 Charles W. Calomiris, Matthew Jaremski, Haelim Park and Gary Richardson Columbia University - Columbia Business School, Colgate University, Government of the United States of America - Office of Financial Research and University of California at Irvine Date Posted: August 22, 2015 Working Paper Series 43 downloads
Market Liquidity and Heterogeneity in the Investor Decision CycleOffice of Financial Research Working Paper No. 15-03 Richard M Bookstaber, Michael Foley and Brian Tivnan Board of Regents - University of California Office of the CIO, University of Vermont and The MITRE Corporation Date Posted: August 22, 2015 Working Paper Series 22 downloads
Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial NetworksOffice of Financial Research Working Paper No. 15-01 Richard M Bookstaber, Paul Glasserman, Garud Iyengar, Yu Luo, Venkat Venkatasubramanian and Zhizun Zhang Board of Regents - University of California Office of the CIO, Columbia Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University, Purdue University and Columbia University Date Posted: August 22, 2015 Working Paper Series 49 downloads
Effects of Limit Order Book Information Level on Market Stability MetricsJournal of Economic Interaction and Coordination, Forthcoming, Office of Financial Research Working Paper No. 14-09 Mark E. Paddrik, Roy Hayes Jr., William T. Scherer and Peter Beling Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia and University of Virginia, Dept. of System & Information Engineering Date Posted: August 22, 2015 Last Revised: November 12, 2015 Working Paper Series 152 downloads
How Likely Is Contagion in Financial Networks?Office of Financial Research Working Paper No. 0009, Columbia Business School Research Paper No. 15-74 Paul Glasserman and H. Peyton Young Columbia Business School and Brookings Institution Date Posted: August 22, 2015 Working Paper Series 64 downloads
Contract as Automaton: The Computational Representation of Financial AgreementsOffice of Financial Research Working Paper No. 15-04 Mark D. Flood and Oliver R. Goodenough Government of the United States of America - Office of Financial Research and Vermont Law School Date Posted: August 22, 2015 Working Paper Series 447 downloads
Using Agent-Based Models for Analyzing Threats to Financial StabilityOFR 0003 Richard M Bookstaber Board of Regents - University of California Office of the CIO Date Posted: August 13, 2015 Working Paper Series 77 downloads
Forging Best Practices in Risk ManagementOFR 12-02 Mark J. Flannery, Paul Glasserman, David K.A. Mordecai and Cliff Rossi University of Florida - Department of Finance, Insurance and Real Estate, Columbia Business School, New York University (NYU) - Courant Institute of Mathematical Sciences and University of Maryland Date Posted: August 07, 2015 Working Paper Series 131 downloads
A Survey of Systemic Risk AnalyticsU.S. Department of Treasury, Office of Financial Research No. 0001 Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis Massachusetts Institute of Technology (MIT), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) Date Posted: January 11, 2012 Last Revised: March 16, 2016 Working Paper Series 4335 downloads |
