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Office of Financial Research Paper Series

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Viewing: 1 - 50 of 73 papers

1.

Cross-Asset Market Order Flow, Liquidity, and Price Discovery

OFR WP 19-04
Number of pages: 57 Posted: 24 Oct 2019
Working Paper Series
Government of the United States of America - Office of Financial Research, University of Memphis - Fogelman College of Business and Economics and Government of the United States of America - Office of Financial Research
Downloads 59
2.

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

OFR WP 19-03
Number of pages: 49 Posted: 24 Oct 2019
Working Paper Series
Board of Governors of the Federal Reserve System, Government of the United States of America, Department of the Treasury, Office of Financial Research and Cornell University - Dyson School of Applied Economics and Management
Downloads 13
3.

The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption

OFR 19-02
Number of pages: 49 Posted: 22 Aug 2019
Working Paper Series
International Monetary Fund (IMF) - Statistics Department, Federal Reserve Banks - Federal Reserve Bank of Dallas, Vanderbilt University - Finance and Cornell University - Dyson School of Applied Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 34
4.

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

Office of Financial Research Working Paper No. 15-01, https://doi.org/10.3905/joi.2015.24.2.147
Posted: 21 May 2019
Accepted 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
5.

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019 Last Revised: 23 Oct 2019
Working Paper Series
Government of the United States of America - Office of Financial Research and University of Texas at Austin - McCombs School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 9
6.

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019
Working Paper Series
Government of the United States of America - Office of Financial Research and University of Texas at Austin - McCombs School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 44
7.

Reducing Moral Hazard at the Expense of Market Discipline: The Effectiveness of Double Liability Before and During the Great Depression

Office of Financial Research Research Paper No. 18-06
Number of pages: 62 Posted: 15 Oct 2018
Working Paper Series
Government of the United States of America – Federal Deposit Insurance Corporation, Government of the United States of America – Office of Financial Research and Seoul National University - Business School

Multiple version iconThere are 4 versions of this paper

Downloads 27
8.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Accepted Paper Series
Columbia University, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 108
9.

OTC Intermediaries

Office of Financial Research Research Paper No. 18-05
Number of pages: 68 Posted: 10 Sep 2018
Working Paper Series
UCLA Anderson School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management, Government of the United States of America - Office of Financial Research and Harvard Business School - Finance Unit
Downloads 129
10.

An Ontology of Ownership and Control Relations of Bank Holding Companies

OFR 18-01
Number of pages: 14 Posted: 05 Jul 2018
Working Paper Series
Government of the United States of America - Office of Financial Research and R. H. Smith School of Business, U. of Maryland
Downloads 20
11.

Reputational Dynamics in Financial Networks During a Crisis

OFR 18-03
Number of pages: 62 Posted: 26 Apr 2018
Working Paper Series
Office of Financial Research and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 25
12.

Competitive Pay and Excessive Manager Risk-Taking

OFR 18-02
Number of pages: 68 Posted: 26 Apr 2018
Working Paper Series
California State University, Fullerton and Office of Financial Research
Downloads 21
13.

The OFR Financial System Vulnerabilities Monitor

OFR 18-01
Number of pages: 38 Posted: 26 Apr 2018
Working Paper Series
Office of Financial Research, Office of Financial Research, Office of Financial Research and Office of Financial Research
Downloads 26
14.

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

OFR 17-07
Number of pages: 57 Posted: 21 Dec 2017
Working Paper Series
Board of Governors of the Federal Reserve System, Government of the United States of America, Department of the Treasury, Office of Financial Research and Cornell University - Dyson School of Applied Economics and Management

Multiple version iconThere are 3 versions of this paper

Downloads 63
15.
Downloads 35
16.

How Safe are Central Counterparties in Derivatives Markets?

OFR 17-06
Number of pages: 21 Posted: 10 Nov 2017
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 89
17.

The OFR Financial Stress Index

OFR 17-04
Number of pages: 41 Posted: 01 Nov 2017
Working Paper Series
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 134
18.

Information Flows, the Accuracy of Opinions, and Crashes in a Dynamic Network

Office of Financial Research Staff Discussion Paper No. 17-01
Number of pages: 41 Posted: 02 Oct 2017
Working Paper Series
Government of the United States of America, Department of the Treasury, Office of Financial Research and Board of Regents - University of California Office of the CIO
Downloads 29
19.

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 92
20.

Bank Networks and Systemic Risk: Evidence from the National Banking Acts

OFR WP 16-13
Number of pages: 59 Posted: 21 Mar 2017
Working Paper Series
Government of the United States of America - Office of Financial Research, Government of the United States of America – Federal Deposit Insurance Corporation and Arizona State University (ASU) - W.P. Carey School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 51
21.

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 City University of Hong Kong (CityUHK)
Downloads 133
22.

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 102
23.

Contagion in Derivatives Markets

OFR WP 16-12
Number of pages: 37 Posted: 06 Dec 2016 Last Revised: 18 Jan 2018
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 130
24.

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
International Monetary Fund (IMF) - Statistics Department, Government of the United States of America - Office of Financial Research and Vanderbilt University - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 140
25.

The Market-Implied Probability of Government Support for Distressed European Banks

OFR WP 16-10, Columbia Business School Research Paper No. 16-73
Number of pages: 23 Posted: 12 Oct 2016 Last Revised: 23 Dec 2019
Working Paper Series
Columbia University - Department of Statistics, Columbia Business School, Board of Governors of the Federal Reserve System and Government of the United States of America - Office of Financial Research
Downloads 192
26.

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 152
27.

A Pilot Survey of Agent Securities Lending Activity

OFR WP 16-08
Number of pages: 19 Posted: 25 Aug 2016
Working Paper Series
Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York and Iowa State University

Multiple version iconThere are 2 versions of this paper

Downloads 25
28.

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
and Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 163
29.

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 150
30.

The Real Consequences of Bank Mortgage Lending Standards

OFR WP 16-05
Number of pages: 53 Posted: 16 May 2016 Last Revised: 19 Dec 2018
Working Paper Series
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 123
31.

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 – Federal Deposit Insurance Corporation
Downloads 43
32.

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, https://doi.org/10.3905/jai.2016.18.4.125
Posted: 25 Mar 2016 Last Revised: 22 May 2019
Accepted Paper Series
R. H. Smith School of Business, U. of Maryland and Government of the United States of America, Department of the Treasury, Office of Financial Research
33.

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 89
34.

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 Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 45
35.

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 263
36.

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 301
37.

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 280
38.

Are the Borrowing Costs of Large Financial Firms Unusual?

Office of Financial Research Working Paper No. 15-10
Number of pages: 60 Posted: 06 Oct 2015
Working Paper Series
Board of Governors of the Federal Reserve System, Harvard University and Federal Reserve Board

Multiple version iconThere are 2 versions of this paper

Downloads 37
39.

Common Ground: The Need for a Universal Mortgage Identifier

Office of Financial Research Working Paper No. 15-12
Number of pages: 22 Posted: 06 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 16
40.

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, R. H. Smith School of Business, U. of Maryland and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 103
41.

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
Federal Reserve Bank of New York, Federal Reserve Bank of New York and International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Downloads 69
42.

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 135
43.

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 129
44.

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 110
45.

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 53
46.

The Effect of Negative Equity on Mortgage Default: Evidence from HAMP PRA

Office of Financial Research Working Paper No. 15-06
Number of pages: 50 Posted: 22 Aug 2015
Working Paper Series
Federal Reserve Board of Governers and Georgia State University
Downloads 39
47.

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, Utah State University - Huntsman School of Business, Government of the United States of America – Federal Deposit Insurance Corporation and University of California at Irvine

Multiple version iconThere are 4 versions of this paper

Downloads 49
48.

Market Liquidity and Heterogeneity in the Investor Decision Cycle

Office of Financial Research Working Paper No. 15-03
Number of pages: 26 Posted: 22 Aug 2015
Working Paper Series
Board of Regents - University of California Office of the CIO, University of Vermont and The MITRE Corporation
Downloads 30
49.

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 201
50.

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 104