Travis D. Nesmith

Board of Governors of the Federal Reserve System

Assistant Director & Chief

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://www.federalreserve.gov/research/staff/nesmithtravisd.htm

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SCHOLARLY PAPERS

11

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1,464

SSRN CITATIONS

9

CROSSREF CITATIONS

0

Scholarly Papers (11)

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1.

Central Clearing and Systemic Liquidity Risk

FEDS Working Paper No. 2020-009R1
Number of pages: 46 Posted: 15 May 2020 Last Revised: 09 Jul 2021
Thomas B. King, Travis D. Nesmith, Anna L. Paulson and Todd Prono
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 248 (238,096)
Citation 2

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Financial systems, Central counterparties, CCPs, Margin, Liquidity risk, Systemic risk, Financial stability, Procyclicality

2.

Risk and Concentration in Payment and Securities Settlement Systems

FEDS Working Paper No. 2007-62
Number of pages: 39 Posted: 29 Aug 2006
David C. Mills and Travis D. Nesmith
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 241 (245,016)
Citation 6

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Interbank payments, securities settlement, strategic games, bank behavior

3.

Tests for Non-Linear Dynamics in Systems of Non-Stationary Economic Time Series: The Case of Short-Term Us Interest Rates

Number of pages: 41 Posted: 18 Feb 2000
Barry E. Jones and Travis D. Nesmith
SUNY at Binghamton - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 235 (251,023)

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4.

Solving Stochastic Money-in-The-Utility-Function Models

FEDs Working Paper No. 2005-52
Number of pages: 27 Posted: 05 Jan 2006
Travis D. Nesmith
Board of Governors of the Federal Reserve System
Downloads 166 (344,663)

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Money, asset pricing, dynamic programming, stochastic modelling, uncertainty

5.

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics

FEDS Working Paper No. 2007-03
Number of pages: 31 Posted: 20 Mar 2007
Travis D. Nesmith and Barry E. Jones
Board of Governors of the Federal Reserve System and SUNY at Binghamton - Department of Economics
Downloads 134 (410,162)
Citation 1

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Cointegration, nonlinearity, interest rates, nonparametric estimation

6.

Optimal Bidder Selection in Clearing House Default Auctions

Downloads 117 (454,856)

Optimal Bidder Selection in Clearing House Default Auctions

Proceedings of WFEClear: The WFE’s Clearing & Derivatives Conference 2023
Number of pages: 22 Posted: 20 Mar 2023
Travis D. Nesmith, Rodney Garratt, David Murphy and Xiaopeng Wu
Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS), London School of Economics - Law School and University of Toronto - Rotman School of Management
Downloads 79 (597,636)

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Optimal Bidder Selection in Clearing House Default Auctions

FEDS Working Paper No. 2023-33
Number of pages: 24 Posted: 22 May 2023
Rodney Garratt, David Murphy, Travis D. Nesmith and Xiaopeng Wu
Bank for International Settlements (BIS), London School of Economics - Law School, Board of Governors of the Federal Reserve System and University of Toronto - Rotman School of Management
Downloads 38 (845,219)

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Clearinghouse, Derivatives, futures and options, Central counterparties, CCPs, Bidder selection, Auction theory, Default auctions

7.

Portfolio Margining Using PCA Latent Factors

Proceedings of WFEClear: The WFE’s Clearing & Derivatives Conference 2024
Number of pages: 23 Posted: 05 Mar 2024
Shengwu Du and Travis D. Nesmith
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 83 (572,995)

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Portfolio risk; Value-at-Risk; margin; CCPs; principal component analysis (PCA); historical simulation; FHS

8.

Rational Seasonality

FEDS Working Paper No. 2007-04
Number of pages: 36 Posted: 21 Mar 2007
Travis D. Nesmith
Board of Governors of the Federal Reserve System
Downloads 80 (585,474)

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Seasonality, index, numbers, separability, aggregation, duality theory

9.

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

FEDS Working Paper No. 2016-065
Number of pages: 17 Posted: 15 Aug 2016
Dobrislav Dobrev, Travis D. Nesmith and Dong Hwan Oh
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 74 (611,777)

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Expected shortfall, Elliptical distributions, Multivariate Student t distribution, Accurate closed-form expression

10.

Central Clearing and Systemic Liquidity Risk

FRB of Chicago Working Paper No. WP 2019-12
Number of pages: 39 Posted: 09 Jul 2021 Last Revised: 03 Jul 2021
G. Thomas Kingsley, Travis D. Nesmith, Anna L. Paulson and Todd Prono
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 64 (660,327)

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margin, financial systems, Central Counterparties (CCPs), procyclicality, liquidity risk, financial stability

11.

Optimal Bidder Selection in Clearing House Default Options

Proceedings of WFEClear: The WFE’s Clearing & Derivatives Conference 2023
Number of pages: 25 Posted: 10 Apr 2023
Travis D. Nesmith
Board of Governors of the Federal Reserve System
Downloads 22 (966,340)

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