Phillip Monin

Government of the United States of America, Department of the Treasury, Office of Financial Research

Researcher

717 14th St NW

Washington, DC 20005

United States

SCHOLARLY PAPERS

11

DOWNLOADS

662

SSRN CITATIONS

3

CROSSREF CITATIONS

9

Scholarly Papers (11)

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, 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
Downloads 111 (257,454)

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

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, 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
Downloads 71 (343,076)

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Investor concentration, Hedge funds, Flows, Portfolio liquidity, Precautionary cash

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

OFR 17-07
Number of pages: 57 Posted: 21 Dec 2017
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
Downloads 66 (357,097)
Citation 2

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

2.

The OFR Financial Stress Index

OFR 17-04
Number of pages: 41 Posted: 01 Nov 2017
Phillip Monin
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 135 (221,336)

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

3.

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
Government of the United States of America, Department of the Treasury, Office of Financial Research and University of Texas at Austin - Red McCombs School of Business
Downloads 72 (336,537)
Citation 1

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

4.

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
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 66 (352,665)

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

5.

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, Government of the United States of America, Department of the Treasury, Office of Financial Research and Federal Reserve Bank of Chicago
Downloads 55 (386,146)
Citation 2

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Hedge funds; Form PF; data quality; risk monitoring

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, 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
Downloads 16 (587,471)

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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

Number of pages: 47 Posted: 19 Mar 2018 Last Revised: 24 Oct 2019
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
Downloads 15 (594,390)

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

7.

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
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 29 (490,203)
Citation 1

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

8.

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
Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 26 (506,455)
Citation 1

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

9.

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 Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 0 (692,420)

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

10.

Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds

OFR WP 20-03
Number of pages: 64
Daniel Barth and Phillip Monin
Government of the United States of America – Office of Financial Research and Government of the United States of America, Department of the Treasury, Office of Financial Research
Downloads 0

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hedge funds, illiquidity, share restrictions, intermediaries

11.

Leverage and Risk in Hedge Funds

OFR WP 20-02
Number of pages: 68
Daniel Barth, Laurel Hammond and Phillip Monin
Government of the United States of America – Office of Financial Research, 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 0

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