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Office of Financial Research Paper Series
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Office of Financial Research Paper Series

Showing Papers 1 - 50 of 56
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Incl. Electronic Paper Bank Networks and Systemic Risk: Evidence from the National Banking Acts
OFR 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
3 downloads

Incl. Electronic Paper Persistence and Procyclicality in Margin Requirements
OFR WP 17-01
Paul Glasserman and Qi Wu
Columbia Business School and Chinese University of Hong Kong
Date Posted: March 21, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed Networks
OFR 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
38 downloads

Incl. Electronic Paper Contagion in the CDS Market
OFR 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
55 downloads

Incl. Electronic Paper 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
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
40 downloads

Incl. Electronic Paper The Market-Implied Probability of European Government Intervention in Distressed Banks
OFR 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
60 downloads

Incl. Electronic Paper Interconnectedness in the Global Financial Market
OFR WP 16-09
Matthias Raddant and Dror Y. Kenett
Kiel Institute for the World Economy and Government of the United States of America - Office of Financial Research
Date Posted: October 08, 2016
Working Paper Series
76 downloads

Incl. Electronic Paper A Pilot Survey of Agent Securities Lending Activity
OFR 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

Incl. Electronic Paper 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
83 downloads

Incl. Electronic Paper A Map of Collateral Uses and Flows
OFR 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, Government of the United States of America - Office of Financial Research and Morgan Stanley
Date Posted: May 27, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper The Real Consequences of Bank Mortgage Lending Standards
OFR 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
51 downloads

Incl. Electronic Paper Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884
Journal 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
27 downloads

Incl. Electronic Paper Form PF and Hedge Funds: Risk-Measurement Precision for Option Portfolios
OFR 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
40 downloads

Incl. Electronic Paper Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets
OFR 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
76 downloads

Incl. Electronic Paper Safe Assets As Commodity Money
OFR 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
31 downloads

Incl. Electronic Paper Regulatory Arbitrage in Repo Markets
Office 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
114 downloads

Incl. Electronic Paper Contagion in Financial Networks
Office 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
212 downloads

Incl. Electronic Paper The Difficult Business of Measuring Banks’ Liquidity: Understanding the Liquidity Coverage Ratio
Office 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
131 downloads

Incl. Electronic Paper 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
30 downloads

Incl. Electronic Paper Common Ground: The Need for a Universal Mortgage Identifier
Office 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

Incl. Electronic Paper Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios
Office 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
77 downloads

Incl. Electronic Paper Reference Guide to U.S. Repo and Securities Lending Markets
Office 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
56 downloads

Incl. Electronic Paper An Agent-Based Model for Crisis Liquidity Dynamics
Office 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
70 downloads

Incl. Electronic Paper Dynamical Macroprudential Stress Testing Using Network Theory
Office of Financial Research Working Paper No. 15-12
Dror Y. Kenett, Sary Levy Carciente, Adam Avakian, H. Eugene Stanley and Shlomo Havlin
Government of the United States of America - Office of Financial Research, Boston University, Boston University, Boston University - Center for Polymer Studies and Bar Ilan University
Date Posted: August 24, 2015
Working Paper Series
103 downloads

Incl. Electronic Paper 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
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
81 downloads

Incl. Electronic Paper How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics
Office 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 Government of the United States of America - Office of Financial Research
Date Posted: August 22, 2015
Working Paper Series
123 downloads

Incl. Electronic Paper 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)
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
31 downloads

Incl. Electronic Paper The Effect of Negative Equity on Mortgage Default: Evidence from HAMP PRA
Office 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
19 downloads

Incl. Electronic Paper 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
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

Incl. Electronic Paper Market Liquidity and Heterogeneity in the Investor Decision Cycle
Office 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
19 downloads

Incl. Electronic Paper Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks
Office 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
47 downloads

Incl. Electronic Paper 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
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
150 downloads

Incl. Electronic Paper 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
57 downloads

Incl. Electronic Paper Contract as Automaton: The Computational Representation of Financial Agreements
Office 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
423 downloads

Incl. Electronic Paper Using Agent-Based Models for Analyzing Threats to Financial Stability
OFR 0003
Richard M Bookstaber
Board of Regents - University of California Office of the CIO
Date Posted: August 13, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper Forging Best Practices in Risk Management
OFR 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
124 downloads

Incl. Electronic Paper Systemwide Commonalities in Market Liquidity
Mark D. Flood, John Liechty and Thomas Piontek
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
Date Posted: May 31, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Are the Fed's Stress Test Results Predictable?
Columbia Business School Research Paper No. 15-23
Paul Glasserman and Gowtham Tangirala
Columbia Business School and Columbia Business School
Date Posted: February 18, 2015
Working Paper Series
152 downloads

Incl. Electronic Paper Asset Value Dynamics in Centrally Cleared Networks
Agostino Capponi, W. Allen Cheng and Sriram Rajan
Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Government of the United States of America - Office of Financial Research
Date Posted: December 26, 2014
Last Revised: May 23, 2016
Working Paper Series
316 downloads

Incl. Electronic Paper Hidden Illiquidity with Multiple Central Counterparties
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia Business School, Columbia Business School - Decision Risk and Operations and Columbia University - Columbia Business School
Date Posted: November 07, 2014
Working Paper Series
320 downloads

Incl. Electronic Paper Hedging Market Risk in Optimal Liquidation
Phillip Monin
Government of the United States of America, Department of the Treasury, Office of Financial Research
Date Posted: September 26, 2014
Last Revised: July 31, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper Shadow Banking: The Money View
Zoltan Pozsar
Credit Suisse
Date Posted: August 06, 2014
Last Revised: July 31, 2015
Working Paper Series
726 downloads

Incl. Electronic Paper A Map of Funding Durability and Risk
Andrea Aguiar, Richard M Bookstaber and Thomas Wipf
Morgan Stanley, Board of Regents - University of California Office of the CIO and Morgan Stanley
Date Posted: August 03, 2014
Working Paper Series
97 downloads

Incl. Electronic Paper 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
Richard M Bookstaber, Jill Cetina, Greg Feldberg, Mark D. Flood and Paul Glasserman
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
Date Posted: May 19, 2014
Accepted Paper Series
150 downloads

Incl. Electronic Paper The Application of Visual Analytics to Financial Stability Monitoring
Journal of Financial Stability, 2016, Forthcoming
Mark D. Flood, Victoria L. Lemieux, Margaret Varga and B. L. William Wong
Government of the United States of America - Office of Financial Research, University of British Columbia (UBC), University of Oxford and Middlesex University
Date Posted: May 18, 2014
Last Revised: January 14, 2016
Accepted Paper Series
191 downloads

Incl. Electronic Paper On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management
Phillip Monin and Thaleia Zariphopoulou
Government of the United States of America, Department of the Treasury, Office of Financial Research and University of Texas at Austin (Mathematics and IROM)
Date Posted: April 30, 2014
Last Revised: July 31, 2015
Working Paper Series
63 downloads

Incl. Electronic Paper Competition in Lending and Credit Ratings
FEDS Working Paper No. 2014-23
Javed Ahmed
Board of Governors of the Federal Reserve System
Date Posted: April 02, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality
Mark D. Flood, Jonathan Katz, Stephen J. Ong and Adam D. Smith
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
Date Posted: November 12, 2013
Working Paper Series
50 downloads

Incl. Electronic Paper CoCos, Bail-In, and Tail Risk
Office of Financial Research Working Paper No. 0004
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Date Posted: July 22, 2013
Working Paper Series
425 downloads

Incl. Electronic Paper The History of Cyclical Macroprudential Policy in the United States
FEDS Working Paper No. 2013-29
Douglas Elliott, Greg Feldberg and Andreas Lehnert
Brookings Institution, Government of the United States of America - Office of Financial Research and Board of Governors of the Federal Reserve
Date Posted: May 25, 2013
Working Paper Series
165 downloads


 

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