Phillip Monin

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

13

DOWNLOADS

1,780

SSRN CITATIONS

9

CROSSREF CITATIONS

18

Scholarly Papers (13)

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Number of pages: 81 Posted: 05 Apr 2021 Last Revised: 08 Mar 2022
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 432 (92,119)
Citation 1

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Hedge funds, Treasury markets, relative value, arbitrage, liquidity, redemption risk, creditor constraints

Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

FEDS Working Paper No. 2021-38
Number of pages: 68 Posted: 09 Jul 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 86 (393,097)

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

Number of pages: 50 Posted: 04 Sep 2017 Last Revised: 01 Nov 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 150 (264,681)

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Hedge funds, investor concentration, flows, precautionary cash, portfolio liquidity

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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 88 (387,502)
Citation 2

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hedge funds, investor concentration, flows, precautionary cash

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

FEDS Working Paper No. 2017-121
Number of pages: 57 Posted: 20 Dec 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 80 (410,434)

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3.

Leverage and Risk in Hedge Funds

OFR WP 20-02
Number of pages: 68 Posted: 27 Feb 2020
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 Board of Governors of the Federal Reserve System
Downloads 230 (181,300)
Citation 1

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hedge funds, leverage, systemic risk, financial stability, low beta anomaly

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Number of pages: 82 Posted: 19 Mar 2018 Last Revised: 22 Feb 2022
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 112 (330,428)
Citation 1

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hedge funds, prime brokers, credit networks, rehypothecation, collateral

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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Cornell University - SC Johnson College of Business
Downloads 67 (453,463)
Citation 1

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hedge funds, prime brokers, credit networks, rehypothecation, collateral

5.

The OFR Financial Stress Index

OFR 17-04
Number of pages: 41 Posted: 01 Nov 2017
Phillip Monin
Board of Governors of the Federal Reserve System
Downloads 155 (257,024)
Citation 3

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financial stress, financial stress index, financial system stability, systemic risk

6.

Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds

OFR WP 20-03
Number of pages: 64 Posted: 27 Feb 2020
Daniel Barth and Phillip Monin
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 94 (368,581)
Citation 4

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hedge funds, illiquidity, share restrictions, intermediaries

7.

On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management

Number of pages: 34 Posted: 30 Apr 2014 Last Revised: 31 Jul 2015
Phillip Monin and Thaleia Zariphopoulou
Board of Governors of the Federal Reserve System and University of Texas at Austin - Red McCombs School of Business
Downloads 83 (397,617)
Citation 1

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expected utility, Merton problem, value at risk, expected shortfall, portfolio Greeks

8.

Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures

Number of pages: 37 Posted: 02 Aug 2015
Mark D. Flood, Phillip Monin and Lina Bandyopadhyay
R. H. Smith School of Business, U. of Maryland, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 71 (434,111)
Citation 4

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Hedge funds; Form PF; data quality; risk monitoring

9.

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
Phillip Monin
Board of Governors of the Federal Reserve System
Downloads 71 (434,111)

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optimal liquidation, optimal execution, hedging market risk, block trades, indifference price

10.

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
Phillip Monin and Richard M. Bookstaber
Board of Governors of the Federal Reserve System and Fabric RQ
Downloads 33 (597,712)

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Social Networks, DeGroot Learning, Dynamic Network Formation, Information Transmission, Nonlinear Dynamical Systems, Crashes

11.

On a Dynamic Adaptation of the Distribution Builder Approach to Investment Decisions

Quantitative Finance, 14:5, 749-760, May 2014.
Number of pages: 25 Posted: 06 Jan 2013 Last Revised: 07 May 2014
Phillip Monin
Board of Governors of the Federal Reserve System
Downloads 28 (627,971)
Citation 1

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inferring preferences, Distribution Builder, expected utility, forward investment performance

12.

Sizing Hedge Funds' Treasury Market Activities and Holdings

FEDS Notes No. 2021-10-06-3
Posted: 18 Oct 2021
Ayelen Banegas, Phillip Monin and Lubomir Petrasek
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

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13.

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
Mark D. Flood and Phillip Monin
R. H. Smith School of Business, U. of Maryland and Board of Governors of the Federal Reserve System
Downloads 0 (875,504)

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Hedge funds; Form PF; data quality; systemic risk; risk monitoring