Deming Wu

Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Economist

400 7th Street SW

Washington, DC 20219

United States

SCHOLARLY PAPERS

19

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Top 11,345

in Total Papers Downloads

3,404

CITATIONS

2

Scholarly Papers (19)

1.

The Information Value of Basel III Liquidity Risk Measures

Number of pages: 39 Posted: 19 Nov 2012 Last Revised: 25 Oct 2013
Deming Wu and Han Hong
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Stanford University
Downloads 652 (25,945)
Citation 1

Abstract:

Basel III, Liquidity risk, Bank failure, Insolvency risk, Information value

2.

Liquidity Risk, Market Valuation, and Bank Failures

Number of pages: 53 Posted: 19 Nov 2012
Deming Wu and Han Hong
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Stanford University
Downloads 505 (39,199)

Abstract:

Bank failure, liquidity risk, insolvency risk, market valuation

3.

The Information Content of Basel III Liquidity Risk Measures

Journal of Financial Stability, 2014, 15, 91-111
Number of pages: 69 Posted: 25 Oct 2013 Last Revised: 01 Oct 2014
Han Hong, Jing-Zhi Huang and Deming Wu
Stanford University, Pennsylvania State University - University Park - Department of Finance and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 382 (39,594)
Citation 1

Abstract:

Basel III, Liquidity coverage ratio, Net stable funding ratio, Liquidity risk, Bank failure, Insolvency risk

4.

Systemic Funding Liquidity Risk and Bank Failures

Number of pages: 56 Posted: 20 Sep 2013
Han Hong and Deming Wu
Stanford University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 140 (129,260)

Abstract:

Bank failure, Insolvency risk, Liquidity risk, Systemic funding liquidity risk, Texas ratio

5.

Do Credit Default Swaps Matter After They Are Settled? Evidence from Debt Recovery Rates

Number of pages: 48 Posted: 30 Aug 2014 Last Revised: 13 Jan 2016
Office of the Comptroller of the Currency - Credit Risk Analysis Division, The University of Hong Kong - School of Economics and Finance, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 128 (126,835)

Abstract:

Credit default swaps (CDS), Recovery rate, Loss given default (LGD), Credit risk

6.

Systemic Risk and Bank Failure

Number of pages: 46 Posted: 09 Sep 2014 Last Revised: 14 Sep 2014
Deming Wu and Xinlei Shelly Zhao
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 109 (148,167)

Abstract:

bank performance, bank failure, systemic risk, TED spread, LIBOR-OIS, distressed insurance premium (DIP), conditional value-at-risk (CoVAR), SRISK

7.

Debt Market Liquidity and Corporate Default Prediction

Quarterly Journal of Finance, 2014, 4
Number of pages: 51 Posted: 02 Oct 2012 Last Revised: 13 Jan 2015
Deming Wu and Suning Zhang
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and University of Iowa
Downloads 107 (196,759)

Abstract:

Corporate default prediction, Liquidity pricing, Market valuation, Book value accounting, Debt market liquidity, Rollover risk

8.

Credit Default Swaps and Bank Loan Sales: Evidence from Bank Syndicated Lending

Number of pages: 60 Posted: 13 Jun 2015 Last Revised: 22 Apr 2017
Iftekhar Hasan and Deming Wu
Gabelli School of Business, Fordham University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 61 (148,928)

Abstract:

CDS, Loan sales, Hedging, Substitute channel, Complementary channel, Credit-enhancement channel

9.

How Large Banks Use CDS to Manage Risks: Bank-Firm-Level Evidence

Number of pages: 42 Posted: 13 Jun 2015 Last Revised: 20 Nov 2015
Iftekhar Hasan and Deming Wu
Gabelli School of Business, Fordham University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 56 (189,368)

Abstract:

CDS, hedging, credit enhancement, regulatory capital relief, banking relationship, private information

10.

Determinants of Auto Loan Defaults and Implications on Stress Testing

Number of pages: 36 Posted: 08 Apr 2015 Last Revised: 22 Sep 2016
Deming Wu and Xinlei Shelly Zhao
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 39 (103,193)

Abstract:

Auto loan defaults, stress testing, model instability, loan age, macroeconomic variables, used car prices

11.

The Effects of Government Capital and Liquidity Support Programs on Bank Lending: Evidence from the Syndicated Corporate Credit Market

Journal of Financial Stability, Forthcoming
Number of pages: 62 Posted: 21 Mar 2015 Last Revised: 06 Oct 2015
Deming Wu
Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 32 (280,839)

Abstract:

G21, G20, G23, G33, G14

12.

Syndicated Credit Cut and Firm Performance

Number of pages: 51 Posted: 30 Aug 2014 Last Revised: 16 Sep 2015
Pei Shao and Deming Wu
University of Lethbridge and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 30 (338,782)

Abstract:

syndicated credit cut, credit sale, credit reduction, information asymmetry, adverse selection, moral hazard

13.

Currency Carry Trade and Bank's Foreign Exchange Risk Management

Number of pages: 29 Posted: 15 Jun 2015
Deming Wu
Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 20 (335,816)

Abstract:

Currency carry trade, Foreign exchange risk management, Leverage, Market maker, Mean-variance optimization, Forward premium puzzle

14.

Macroeconomic Factors and Model Instability: Implications on Bank Stress Testing

Number of pages: 33 Posted: 12 Jan 2017 Last Revised: 25 Jul 2017
Han Hong and Deming Wu
Stanford University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 0 (321,063)

Abstract:

Model Instability, Macroeconomic Factor, Measurement Errors, Stress Testing, Credit Risk Model

15.

Practical Issues in the Current Expected Credit Loss (CECL) Model: Effective Loan Life and Forward-Looking Information

Posted: 09 Dec 2016 Last Revised: 06 Jul 2017
Deming Wu
Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Abstract:

CECL, ALLL, Loss Forecast, Effective Loan Life, Cumulative Default Rates

16.

How Large Banks Use CDS to Manage Risks: Bank-Firm-Level Evidence

Bank of Finland Research Discussion Paper No. 10/2016, Gabelli School of Business, Fordham University Research Paper No. 2772965
Number of pages: 44 Posted: 02 May 2016
Iftekhar Hasan and Deming Wu
Gabelli School of Business, Fordham University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 0 (338,782)

Abstract:

G14, G21, G23, G28, G32, hedging, credit enhancement, regulatory capital relief, banking relationship, private information

17.

Credit Default Swaps and Bank Loan Sales: Evidence from Bank Syndicated Lending

Bank of Finland Research Discussion Paper No. 9/2016, Gabelli School of Business, Fordham University Research Paper No. 2772963
Number of pages: 41 Posted: 02 May 2016
Iftekhar Hasan and Deming Wu
Gabelli School of Business, Fordham University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 0 (413,534)

Abstract:

G14, G21, G23, G28, G32, loan sales, hedging, credit enhancement, regulatory capital relief, banking

18.

Do Market Makers Lean Against the Wind? Evidence from the Credit Default Swaps Market

Number of pages: 25 Posted: 20 Oct 2015 Last Revised: 13 Jan 2016
Deming Wu
Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 0 (338,782)

Abstract:

Credit default swaps, market makers, proprietary trading, the Volcker rule, lean against the wind, banking

19.

Securitization and Banks’ Equity Risk

Journal of Financial Services Research 39, 95-117, 2011
Posted: 19 Nov 2012
Deming Wu, Jiawen Yang and Han Hong
Government of the United States of America - Office of the Comptroller of the Currency (OCC), George Washington University - School of Business and Stanford University

Abstract:

Securitization, Bank equity risk, Systematic risk, Banking