James M. O'Brien

Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Washington, DC 20551

United States

SCHOLARLY PAPERS

13

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CITATIONS
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53

Scholarly Papers (13)

1.

How Accurate are Value-at-Risk Models at Commercial Banks

FEDS Working Paper No. 2001-31
Number of pages: 28 Posted: 28 Aug 2001
Jeremy Berkowitz and James M. O'Brien
University of Houston - Department of Finance and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 1,303 (14,401)
Citation 24

Abstract:

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Market risk, portfolio model, value-at-risk, volatility

2.

Bank Commercial Loan Fair Value Practices

FEDS Working Paper No. 2007-29
Number of pages: 53 Posted: 27 Sep 2007
John Tschirhart, James M. O'Brien, Michael Moise and Emily Yang
Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System - Trading Risk Analysis Section, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 616 (42,117)
Citation 2

Abstract:

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Commercial banks, Commercial loan fair valuation

3.

Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits

FEDS Working Paper No. 00-53
Number of pages: 46 Posted: 17 Jan 2001
James M. O'Brien
Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 596 (44,032)
Citation 3

Abstract:

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Transactions deposits, valuation, interest rate risk

Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy

Finance and Economics Discussion Series FEDS Paper Number 98-10
Number of pages: 34 Posted: 26 Jun 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 416 (68,391)

Abstract:

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Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 11 Posted: 15 Nov 2007
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 58 (366,081)

Abstract:

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G2, G3

5.

The Pre-Commitment Approach: Using Incentives to Set Market Risk Capital Requirements

Number of pages: 52 Posted: 29 Jul 1997
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 338 (87,906)
Citation 24

Abstract:

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6.

An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis

FEDS Working Paper No. 2014-21
Number of pages: 53 Posted: 02 Apr 2014
James M. O'Brien and Pawel Szerszen
Board of Governors of the Federal Reserve System - Trading Risk Analysis Section and Board of Governors of the Federal Reserve System
Downloads 193 (156,124)
Citation 4

Abstract:

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market risk, value at risk, backtesting, profit and loss, financial crisis

7.

Estimating Bank Trading Risk: A Factor Model Approach

NBER Working Paper No. w11608
Number of pages: 50 Posted: 01 Nov 2005 Last Revised: 21 Sep 2010
James M. O'Brien and Jeremy Berkowitz
Board of Governors of the Federal Reserve System - Trading Risk Analysis Section and University of Houston - Department of Finance
Downloads 36 (438,561)

Abstract:

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8.

How Accurate are Value-at-Risk Models at Commercial Banks?

Journal of Finance, Vol. 57, pp. 1093-1111, 2002
Posted: 29 Nov 2003
Jeremy Berkowitz and James M. O'Brien
University of Houston - Department of Finance and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

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9.

Thrift Stock Returns and Balance Sheet Interest Rate Sensitivity

Board of Governors of the Federal Reserve System Working Paper No 94-29
Posted: 24 Oct 1999
Stephen A. Lumpkin and James M. O'Brien
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

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10.

Estimating the Interest Rate Sensitivity of Liquid Retail Deposit Values

Posted: 20 Dec 1998
James M. O'Brien, Athanasios Orphanides and David H. Small
Board of Governors of the Federal Reserve System - Trading Risk Analysis Section, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Board - Monetary Studies Section

Abstract:

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11.

The Use of Bank Trading Risk Models for Regulatory Capital Purposes

Posted: 25 Aug 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

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12.

A Pre-Commitment Approach to Capital Requirements for Market Risk

Posted: 24 Aug 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

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13.

Recent Developments in Bank Capital Regulation; Regulation of Market Risks

FEDS Paper Number 95-51
Posted: 05 Jul 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

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