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Office of Financial Research Paper Series

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Viewing: 1 - 50 of 58 papers

1.

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016
Working Paper Series
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)

Multiple version iconThere are 2 versions of this paper

Downloads 4,413
2.

Shadow Banking: The Money View

Number of pages: 71 Posted: 06 Aug 2014 Last Revised: 31 Jul 2015
Working Paper Series
Credit Suisse
Downloads 808
3.

Contract as Automaton: The Computational Representation of Financial Agreements

Office of Financial Research Working Paper No. 15-04
Number of pages: 50 Posted: 22 Aug 2015
Working Paper Series
Government of the United States of America - Office of Financial Research and Vermont Law School
Downloads 466
4.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
Working Paper Series
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 450
5.

Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty

Quantitative Finance, 15(1), 2015, January, 43-59.
Number of pages: 48 Posted: 04 Sep 2008 Last Revised: 31 Jul 2015
Accepted Paper Series
Government of the United States of America - Office of Financial Research and U.S. Federal Housing Finance Agency
Downloads 434
6.

Trade Credit and Cross-Country Predictable Firm Returns

Journal of Financial Economics Vol. 115, 592-613, 2015.
Number of pages: 46 Posted: 23 Jan 2011 Last Revised: 20 Aug 2015
Accepted Paper Series
Boston College, Carroll School of Management, Imperial College London and Cornell University - Dyson School of Applied Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 430
7.

Design of Risk Weights

Columbia Business School Research Paper No. 13-39
Number of pages: 32 Posted: 25 May 2013
Working Paper Series
Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Downloads 384
8.

Enterprise Value Dynamics in Centrally Cleared Markets

Number of pages: 33 Posted: 26 Dec 2014 Last Revised: 07 Oct 2017
Working Paper Series
Columbia University, Columbia University and Government of the United States of America - Office of Financial Research
Downloads 352
9.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Working Paper Series
Columbia Business School, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 324
10.

Contagion in Financial Networks

Office of Financial Research Working Paper No. 15-21
Number of pages: 76 Posted: 29 Oct 2015
Working Paper Series
Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 236
11.

The Application of Visual Analytics to Financial Stability Monitoring

Journal of Financial Stability, 2016, Forthcoming
Number of pages: 50 Posted: 18 May 2014 Last Revised: 14 Jan 2016
Accepted Paper Series
Government of the United States of America - Office of Financial Research, University of British Columbia (UBC), University of Oxford and Middlesex University
Downloads 206
12.

Stress Scenario Selection by Empirical Likelihood

Number of pages: 38 Posted: 06 Jul 2012 Last Revised: 31 Jul 2015
Working Paper Series
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 200
13.

The History of Cyclical Macroprudential Policy in the United States

FEDS Working Paper No. 2013-29
Number of pages: 75 Posted: 25 May 2013
Working Paper Series
Brookings Institution, Government of the United States of America - Office of Financial Research and Board of Governors of the Federal Reserve
Downloads 183
14.

The Difficult Business of Measuring Banks’ Liquidity: Understanding the Liquidity Coverage Ratio

Office of Financial Research Working Paper No. 15-20
Number of pages: 32 Posted: 28 Oct 2015
Working Paper Series
Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 168
15.

Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future

Journal of Risk Management in Financial Institutions, 7(1), 16-25 (2014 Forthcoming). , Office of Financial Research Working Paper #0010
Number of pages: 14 Posted: 19 May 2014
Accepted Paper Series
Board of Regents - University of California Office of the CIO, 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 Columbia Business School
Downloads 160
16.

Are the Fed's Stress Test Results Predictable?

Columbia Business School Research Paper No. 15-23
Number of pages: 20 Posted: 18 Feb 2015
Working Paper Series
Columbia Business School and Columbia Business School
Downloads 158
17.

Effects of Limit Order Book Information Level on Market Stability Metrics

Journal of Economic Interaction and Coordination, Forthcoming, Office of Financial Research Working Paper No. 14-09
Number of pages: 27 Posted: 22 Aug 2015 Last Revised: 12 Nov 2015
Working Paper Series
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
Downloads 154
18.

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Office of Financial Research Working Paper No. 15-15
Number of pages: 28 Posted: 22 Aug 2015
Working Paper Series
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 139
19.

Regulatory Arbitrage in Repo Markets

Office of Financial Research Working Paper No. 15-22
Number of pages: 65 Posted: 03 Nov 2015 Last Revised: 22 Aug 2017
Working Paper Series
Vanderbilt University - Finance
Downloads 136
20.

Forging Best Practices in Risk Management

OFR 12-02
Number of pages: 73 Posted: 07 Aug 2015
Working Paper Series
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
Downloads 134
21.

Does OTC Derivatives Reform Incentivize Central Clearing?

OFR WP 16-07, Columbia Business School Research Paper No. 16-59
Number of pages: 48 Posted: 25 Aug 2016
Working Paper Series
Office of Financial Research, US Department of the Treasury and Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 124
22.

Dynamical Macroprudential Stress Testing Using Network Theory

Office of Financial Research Working Paper No. 15-12
Number of pages: 52 Posted: 24 Aug 2015
Working Paper Series
Financial Industry Regulatory Authority (FINRA), Boston University, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Downloads 111
23.

Interconnectedness in the Global Financial Market

OFR WP 16-09
Number of pages: 37 Posted: 08 Oct 2016
Working Paper Series
Kiel Institute for the World Economy and Financial Industry Regulatory Authority (FINRA)
Downloads 108
24.

Using Agent-Based Models for Analyzing Threats to Financial Stability

OFR 0003
Number of pages: 24 Posted: 13 Aug 2015
Working Paper Series
Board of Regents - University of California Office of the CIO
Downloads 107
25.

A Map of Funding Durability and Risk

Number of pages: 28 Posted: 03 Aug 2014
Working Paper Series
Morgan Stanley, Board of Regents - University of California Office of the CIO and Morgan Stanley
Downloads 104
26.

A Map of Collateral Uses and Flows

OFR WP 16-06
Number of pages: 26 Posted: 27 May 2016
Working Paper Series
Morgan Stanley, Board of Regents - University of California Office of the CIO, Financial Industry Regulatory Authority (FINRA) and Morgan Stanley
Downloads 97
27.

Bounding Wrong-Way Risk in Measuring Counterparty Risk

Office of Financial Research Working Paper No. 15-16, Columbia Business School Research Paper No. 15-76
Number of pages: 16 Posted: 22 Aug 2015
Working Paper Series
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 90
28.

The Market-Implied Probability of European Government Intervention in Distressed Banks

OFR WP 16-10, Columbia Business School Research Paper No. 16-73
Number of pages: 34 Posted: 12 Oct 2016 Last Revised: 10 Dec 2016
Working Paper Series
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
Downloads 86
29.

An Agent-Based Model for Crisis Liquidity Dynamics

Office of Financial Research Working Paper No. 15-18
Number of pages: 36 Posted: 23 Sep 2015
Working Paper Series
Board of Regents - University of California Office of the CIO and Government of the United States of America - Office of Financial Research
Downloads 85
30.

Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios

Office of Financial Research Working Paper No. 15-19
Number of pages: 24 Posted: 03 Oct 2015
Working Paper Series
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
Downloads 80
31.

Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets

OFR WP 16-01
Number of pages: 34 Posted: 10 Mar 2016
Working Paper Series
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
Downloads 79
32.

Contagion in the CDS Market

OFR WP 16-12
Number of pages: 30 Posted: 06 Dec 2016
Working Paper Series
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
Downloads 75
33.

Europe's CoCos Provide a Lesson on Uncertainty

OFR WP 17-02
Number of pages: 32 Posted: 09 May 2017
Working Paper Series
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
Downloads 69
34.

Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market

OFR WP 16-11
Number of pages: 41 Posted: 14 Nov 2016
Working Paper Series
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
Downloads 68
35.

How Likely Is Contagion in Financial Networks?

Office of Financial Research Working Paper No. 0009, Columbia Business School Research Paper No. 15-74
Number of pages: 37 Posted: 22 Aug 2015
Working Paper Series
Columbia Business School and Brookings Institution
Downloads 68
36.

The Real Consequences of Bank Mortgage Lending Standards

OFR WP 16-05
Number of pages: 48 Posted: 16 May 2016 Last Revised: 15 Nov 2016
Working Paper Series
Federal Reserve Board, U.S. Treasury Office of Financial Research and Federal Reserve Board
Downloads 68
37.

On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management

Number of pages: 34 Posted: 30 Apr 2014 Last Revised: 31 Jul 2015
Working Paper Series
Government of the United States of America, Department of the Treasury, Office of Financial Research and University of Texas at Austin - Red McCombs School of Business
Downloads 65
38.

Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed Networks

OFR WP 16-14
Number of pages: 45 Posted: 22 Dec 2016 Last Revised: 26 Jul 2017
Working Paper Series
Cardiff University - School of Mathematics, Government of the United States of America - Office of Financial Research, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 63
39.

Persistence and Procyclicality in Margin Requirements

OFR WP 17-01, Columbia Business School Research Paper No. 17-34
Number of pages: 41 Posted: 21 Mar 2017
Working Paper Series
Columbia Business School and Chinese University of Hong Kong
Downloads 60
40.

Reference Guide to U.S. Repo and Securities Lending Markets

Office of Financial Research Working Paper No. 15-17
Number of pages: 70 Posted: 23 Sep 2015
Working Paper Series
Government of the United States of America - Office of Financial Research, Federal Reserve Bank of New York and International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Downloads 59
41.

Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality

Number of pages: 47 Posted: 12 Nov 2013
Working Paper Series
Government of the United States of America - Office of Financial Research, University of Maryland Department of Computer Science, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Pennsylvania State University

Multiple version iconThere are 2 versions of this paper

Downloads 55
42.

Hedging Market Risk in Optimal Liquidation

Office of Financial Research Working Paper 14-08
Number of pages: 24 Posted: 26 Sep 2014 Last Revised: 28 Sep 2017
Working Paper Series
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 53
43.

Competition in Lending and Credit Ratings

FEDS Working Paper No. 2014-23
Number of pages: 53 Posted: 02 Apr 2014
Working Paper Series
Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 51
44.

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

Office of Financial Research Working Paper No. 15-01
Number of pages: 30 Posted: 22 Aug 2015
Working Paper Series
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 - Department of Chemical Engineering, Purdue University and Columbia University, Department of Chemical Engineering, Students
Downloads 50
45.

Systemwide Commonalities in Market Liquidity

Number of pages: 78 Posted: 31 May 2015
Working Paper Series
Government of the United States of America - Office of Financial Research, Pennsylvania State University, University Park and Government of the United States of America - Office of Financial Research
Downloads 48
46.

Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve System

Office of Financial Research Working Paper No. 15-05, Columbia Business School Research Paper No. 15-75
Number of pages: 61 Posted: 22 Aug 2015
Working Paper Series
Columbia University - Columbia Business School, Colgate University, Government of the United States of America - Office of Financial Research and University of California at Irvine

Multiple version iconThere are 3 versions of this paper

Downloads 46
47.

Form PF and Hedge Funds: Risk-Measurement Precision for Option Portfolios

Journal of Alternative Investments, Vol. 18, No. 4, 2006, Office of Financial Research Working Paper 16-02
Number of pages: 42 Posted: 25 Mar 2016 Last Revised: 28 Sep 2017
Accepted Paper Series
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
Downloads 44
48.

The Influence of Systemic Importance Indicators on Banks’ Credit Default Swap Spreads

Office of Financial Research Working Paper No. 15-09 and Journal of Risk Management in Financial Institutions (volume 9, January 2016)
Number of pages: 26 Posted: 22 Aug 2015 Last Revised: 15 Nov 2016
Working Paper Series
Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 38
49.

Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884

Journal of Banking and Finance, Forthcoming, OFR WP 16-03
Number of pages: 35 Posted: 03 Apr 2016
Accepted Paper Series
International Monetary Fund (IMF) - Research Department and Government of the United States of America - Office of Financial Research
Downloads 37
50.

Safe Assets As Commodity Money

OFR WP 15-23
Number of pages: 31 Posted: 27 Nov 2015 Last Revised: 15 Nov 2016
Working Paper Series
World Bank - Development Research Group (DECRG) and U.S. Treasury Office of Financial Research

Multiple version iconThere are 2 versions of this paper

Downloads 34