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OFR: Working Paper Series (Topic)

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Office of Financial Research Paper Series
14,056 Total downloads

Viewing: 1 - 42 of 42 papers

1.

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 260
2.

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
3.

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
4.

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
5.

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
6.

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
7.

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
8.

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
9.

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
10.

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
11.

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
12.

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
13.

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
14.

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
15.

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
16.

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
17.

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
Therese C. Scharlemann and Stephen H. Shore
Board of Governors of the Federal Reserve System and Georgia State University
Downloads 43
18.

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
Charles W. Calomiris, Matthew Jaremski, Haelim Anderson and Gary Richardson
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
19.

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
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
Downloads 34
20.

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
Mark E. Paddrik, Roy Hayes, William 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
Downloads 217
21.

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
Paul Glasserman and H. Peyton Young
Columbia Business School and Brookings Institution
Downloads 131
22.

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 Last Revised: 15 Sep 2020
Working Paper Series
Mark D. Flood and Oliver R. Goodenough
R. H. Smith School of Business, U. of Maryland and Vermont Law School
Downloads 606
23.

Using Agent-Based Models for Analyzing Threats to Financial Stability

OFR 0003
Number of pages: 24 Posted: 13 Aug 2015
Working Paper Series
Richard M. Bookstaber
Board of Regents - University of California Office of the CIO
Downloads 326
24.

Forging Best Practices in Risk Management

OFR 12-02
Number of pages: 73 Posted: 07 Aug 2015
Working Paper Series
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
Downloads 154
25.

Systemwide Commonalities in Market Liquidity

Number of pages: 78 Posted: 31 May 2015
Working Paper Series
Mark D. Flood, John Liechty and Thomas Piontek
R. H. Smith School of Business, U. of Maryland, Pennsylvania State University, University Park and Government of the United States of America - Office of Financial Research
Downloads 75
26.

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
Paul Glasserman and Gowtham Tangirala
Columbia Business School and Columbia Business School
Downloads 193
27.

Firm Capital Dynamics in Centrally Cleared Markets

Mathematical Finance, Forthcoming
Number of pages: 41 Posted: 26 Dec 2014 Last Revised: 22 Aug 2019
Accepted Paper Series
Agostino Capponi, W. 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
Downloads 425
28.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Working Paper Series
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia Business School, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 363
29.

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
Phillip Monin
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 68
30.

Shadow Banking: The Money View

Number of pages: 71 Posted: 06 Aug 2014 Last Revised: 31 Jul 2015
Working Paper Series
Zoltan Pozsar
Credit Suisse
Downloads 1,516
31.

A Map of Funding Durability and Risk

Number of pages: 28 Posted: 03 Aug 2014
Working Paper Series
Andrea Aguiar, Richard M. Bookstaber and Thomas Wipf
Morgan Stanley, Board of Regents - University of California Office of the CIO and Morgan Stanley
Downloads 153
32.

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
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, Yale University - Yale Program on Financial Stability, R. H. Smith School of Business, U. of Maryland and Columbia Business School
Downloads 204
33.

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
Mark D. Flood, Victoria Lemieux, Margaret Varga and B. L. Wong
R. H. Smith School of Business, U. of Maryland, University of British Columbia (UBC), University of Oxford and Middlesex University
Downloads 251
34.

Competition in Lending and Credit Ratings

FEDS Working Paper No. 2014-23
Number of pages: 53 Posted: 02 Apr 2014
Working Paper Series
Javed Ahmed
Metis

Multiple version iconThere are 2 versions of this paper

Downloads 64
35.

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

Number of pages: 47 Posted: 12 Nov 2013
Working Paper Series
Mark D. Flood, Jonathan Katz, Stephen J. Ong and Adam Smith
R. H. Smith School of Business, U. of Maryland, 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 88
36.

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
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 563
37.

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
Douglas Elliott, Greg Feldberg and Andreas Lehnert
Brookings Institution, Yale University - Yale Program on Financial Stability and Board of Governors of the Federal Reserve System
Downloads 282
38.

Design of Risk Weights

Columbia Business School Research Paper No. 13-39
Number of pages: 32 Posted: 25 May 2013
Working Paper Series
Paul Glasserman and Wanmo Kang
Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Downloads 399
39.

Hedge Fund Contagion and Risk-Adjusted Returns: A Markov-Switching Dynamic Factor Approach

Journal of Empirical Finance, Forthcoming
Posted: 01 May 2013
Accepted Paper Series
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 Board of Governors of the Federal Reserve System
40.

Stress Scenario Selection by Empirical Likelihood

Number of pages: 38 Posted: 06 Jul 2012 Last Revised: 31 Jul 2015
Working Paper Series
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)
Downloads 219
41.

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
Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis
Massachusetts Institute of Technology (MIT), R. H. Smith School of Business, U. of Maryland, 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 4,918
42.

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
Mark D. Flood and George Korenko
R. H. Smith School of Business, U. of Maryland and U.S. Federal Housing Finance Agency
Downloads 541