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Office of Financial Research Paper Series
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Viewing: 1 - 50 of 78 papers

1.

Credit Risk and the Transmission of Interest Rate Shocks

OFR 20-05
Number of pages: 70 Posted: 07 Dec 2020
Working Paper Series
Berardino Palazzo and Ram Yamarthy
Board of Governors of the Federal Reserve System and Office of Financial Research, US Department of the Treasury
Downloads 33
2.

Central Counterparty Default Waterfalls and Systemic Loss

OFR WP 20-04
Number of pages: 55 Posted: 16 Jul 2020
Working Paper Series
Mark E. Paddrik and Simpson Zhang
Government of the United States of America - Office of Financial Research and Office of Financial Research
Downloads 33
3.

Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds

OFR WP 20-03
Number of pages: 64 Posted: 27 Feb 2020
Working Paper Series
Daniel Barth and Phillip Monin
Board of Governors of the Federal Reserve System and Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 54
4.

Leverage and Risk in Hedge Funds

OFR WP 20-02
Number of pages: 68 Posted: 27 Feb 2020
Working Paper Series
Daniel Barth, Laurel Hammond and Phillip Monin
Board of Governors of the Federal Reserve System, Office of Financial Research, US Department of the Treasury and Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 105
5.

The Hedge Fund Industry Is Bigger (and Has Performed Better) Than You Think

OFR WP 20-01
Number of pages: 57 Posted: 27 Feb 2020 Last Revised: 09 Nov 2020
Working Paper Series
Daniel Barth, Juha Joenväärä, Mikko Kauppila and Russ Wermers
Board of Governors of the Federal Reserve System, Aalto University School of Business, University of Oulu and University of Maryland - Robert H. Smith School of Business
Downloads 286
6.

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

OFR WP 19-04
Number of pages: 57 Posted: 24 Oct 2019
Working Paper Series
Robert Garrison, Pankaj K. Jain and Mark E. Paddrik
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 101
7.

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
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
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 2 versions of this paper

Downloads 37
8.

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
Meraj Allahrakha, Jill Cetina, Benjamin Munyan and Sumudu W. Watugala
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 42
9.

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
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 - Department of Chemical Engineering, Purdue University and Columbia University, Department of Chemical Engineering, Students
10.

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
Mark E. Paddrik and Stathis Tompaidis
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 22
11.

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019
Working Paper Series
Mark E. Paddrik and Stathis Tompaidis
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 52
12.

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
Haelim Anderson, Daniel Barth and Dong Beom Choi
Government of the United States of America – Federal Deposit Insurance Corporation, Board of Governors of the Federal Reserve System and Seoul National University - Business School

Multiple version iconThere are 4 versions of this paper

Downloads 36
13.

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
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 139
14.

OTC Intermediaries

Office of Financial Research Research Paper No. 18-05
Number of pages: 65 Posted: 10 Sep 2018 Last Revised: 09 Nov 2020
Working Paper Series
Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane
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 199
15.

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
Liju Fan and Mark D. Flood
Government of the United States of America - Office of Financial Research and R. H. Smith School of Business, U. of Maryland
Downloads 31
16.

Reputational Dynamics in Financial Networks During a Crisis

OFR 18-03
Number of pages: 62 Posted: 26 Apr 2018
Working Paper Series
Simpson Zhang and Mihaela van der Schaar
Office of Financial Research and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 29
17.

Competitive Pay and Excessive Manager Risk-Taking

OFR 18-02
Number of pages: 68 Posted: 26 Apr 2018
Working Paper Series
Jen-Wen Chang and Simpson Zhang
California State University, Fullerton and Office of Financial Research
Downloads 30
18.

The OFR Financial System Vulnerabilities Monitor

OFR 18-01
Number of pages: 38 Posted: 26 Apr 2018
Working Paper Series
Joe McLaughlin, Adam Minson, Eric Parolin and Nathan Palmer
Office of Financial Research, Office of Financial Research, Office of Financial Research and Office of Financial Research
Downloads 30
19.

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

OFR 17-07
Number of pages: 50 Posted: 21 Dec 2017 Last Revised: 09 Nov 2020
Working Paper Series
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
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 69
20.

The Intersection of U.S. Money Market Mutual Fund Reforms, Bank Liquidity Requirements, and the Federal Home Loan Bank System

OFR 17-05
Number of pages: 21 Posted: 10 Nov 2017
Working Paper Series
Kenechukwu Anadu and Viktoria Baklanova
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of New York

Multiple version iconThere are 2 versions of this paper

Downloads 37
21.

How Safe are Central Counterparties in Derivatives Markets?

OFR 17-06
Number of pages: 21 Posted: 10 Nov 2017
Working Paper Series
Mark E. Paddrik and Peyton Young
Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 108
22.

The OFR Financial Stress Index

OFR 17-04
Number of pages: 41 Posted: 01 Nov 2017
Working Paper Series
Phillip Monin
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 146
23.

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
Phillip Monin and Richard M. Bookstaber
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 31
24.

Europe's CoCos Provide a Lesson on Uncertainty

OFR WP 17-02
Number of pages: 32 Posted: 09 May 2017
Working Paper Series
Katherine 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
Downloads 105
25.

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
Mark E. Paddrik, Haelim Anderson and Jessie Jiaxu Wang
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 57
26.

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
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 170
27.

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
Anqi Liu, Mark E. Paddrik, Steve Y. Yang and Xingjia Zhang
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 105
28.

Contagion in Derivatives Markets

OFR WP 16-12
Number of pages: 37 Posted: 06 Dec 2016 Last Revised: 18 Jan 2018
Working Paper Series
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
Downloads 145
29.

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
Meraj Allahrakha, Jill Cetina and Benjamin Munyan
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 147
30.

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
Richard Neuberg, Paul Glasserman, Benjamin Kay and Sriram Rajan
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 221
31.

Interconnectedness in the Global Financial Market

OFR WP 16-09
Number of pages: 37 Posted: 08 Oct 2016
Working Paper Series
Matthias Raddant and Dror Y. Kenett
Kiel Institute for the World Economy and Financial Industry Regulatory Authority (FINRA)
Downloads 181
32.

A Pilot Survey of Agent Securities Lending Activity

OFR WP 16-08
Number of pages: 19 Posted: 25 Aug 2016
Working Paper Series
Viktoria Baklanova, Cecilia Caglio, Frank M. Keane and R. Burt Porter
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 35
33.

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
Samim Ghamami and Paul Glasserman
and Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 169
34.

A Map of Collateral Uses and Flows

OFR WP 16-06
Number of pages: 26 Posted: 27 May 2016
Working Paper Series
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
Downloads 192
35.

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
Cindy M. Vojtech, Benjamin Kay and John C. Driscoll
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 129
36.

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
John C. Bluedorn and Haelim Anderson
International Monetary Fund (IMF) - Research Department and Government of the United States of America – Federal Deposit Insurance Corporation
Downloads 47
37.

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
Mark D. Flood and Phillip Monin
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
38.

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
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
Downloads 89
39.

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
Maya Eden and Benjamin Kay
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 48
40.

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
Benjamin Munyan
Vanderbilt University - Finance
Downloads 328
41.

Contagion in Financial Networks

Office of Financial Research Working Paper No. 15-21
Number of pages: 76 Posted: 29 Oct 2015
Working Paper Series
Paul Glasserman and Peyton Young
Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 317
42.

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
Jill Cetina and Katherine Gleason
Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 326
43.

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
Javed Ahmed, Christopher Anderson and Rebecca Zarutskie
Metis, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 38
44.

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
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
Downloads 17
45.

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
Jingnan Chen, Mark D. Flood and Richard Sowers
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 107
46.

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
Viktoria Baklanova, Adam M. Copeland and Rebecca McCaughrin
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 74
47.

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
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
Downloads 165
48.

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
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
Downloads 137
49.

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
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 114
50.

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
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
Downloads 53