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OFR: Working Paper Series (Topic)
10,401 Total downloads

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Office of Financial Research Paper Series

Showing Papers 1 - 41 of 41
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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
77 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
33 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
127 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
220 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
151 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
32 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
79 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
57 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
80 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
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
108 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
85 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 Financial Industry Regulatory Authority (FINRA)
Date Posted: August 22, 2015
Working Paper Series
134 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
35 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
22 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
22 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
49 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
152 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
63 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
446 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
75 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
128 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
45 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
153 downloads

Incl. Electronic Paper Asset Value Dynamics in Centrally Cleared Networks
Agostino Capponi, W. Allen Cheng and Sriram Rajan
Columbia University, Columbia University 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
342 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
51 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
764 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
101 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
152 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
198 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
51 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
53 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
440 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
171 downloads

Incl. Electronic Paper Design of Risk Weights
Columbia Business School Research Paper No. 13-39
Paul Glasserman and Wanmo Kang
Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Date Posted: May 25, 2013
Working Paper Series
380 downloads

Hedge Fund Contagion and Risk-Adjusted Returns: A Markov-Switching Dynamic Factor Approach
Journal of Empirical Finance, Forthcoming
Ozzy (Ozgur) Akay, Zeynep Senyuz and Emre Yoldas
Office of Financial Research, US Department of the Treasury, Board of Governors of the Federal Reserve System and Federal Reserve Board
Date Posted: May 01, 2013
Accepted Paper Series

Incl. Electronic Paper Stress Scenario Selection by Empirical Likelihood
Paul Glasserman, Chulmin Kang and Wanmo Kang
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: July 06, 2012
Last Revised: July 31, 2015
Working Paper Series
197 downloads

Incl. Electronic Paper A Survey of Systemic Risk Analytics
U.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
4326 downloads

Incl. Electronic Paper Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty
Quantitative Finance, 15(1), 2015, January, 43-59.
Mark D. Flood and George Korenko
Government of the United States of America - Office of Financial Research and U.S. Federal Housing Finance Agency
Date Posted: September 04, 2008
Last Revised: July 31, 2015
Accepted Paper Series
430 downloads