Working Papers

From Office of Financial Research, US Department of the Treasury
Contact information at EDIRC.
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16-13: Bank Networks and Systemic Risk: Evidence from the National Banking Acts

Mark Paddrik, Haelim Park and Jessie Wang

16-12: Contagion in the CDS Market

Mark Paddrik, Sriram Rajan and H. Peyton Young

16-11: Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market

M. Allahrakha, Jill Cetina and Benjamin Munyan

16-10: The Market-implied Probability of European Government Intervention in Distressed Banks

Richard Neuberg, Paul Glasserman, Benjamin Kay and Sriram Rajan

16-09: Interconnectedness in the Global Financial Market

Matthias Raddant and Dror Y. Kenett

16-08: A Pilot Survey of Agent Securities Lending Activity

Viktoria Baklanova, Cecilia Caglio, Frank Keane and Burt Porter

16-07: Does OTC Derivatives Reform Incentivize Central Clearing?

Samim Ghamami and Paul Glasserman

16-06: A Map of Collateral Uses and Flows

Andrea Aguiar, Richard Bookstaber, Dror Y. Kenett and Thomas Wipf

16-05: The Real Consequences of Bank Mortgage Lending Standards

Cindy M. Vojtech, Benjamin S. Kay and John Driscoll

16-04: Does Unusual News Forecast Market Stress?

Harry Mamaysky and Paul Glasserman

16-03: Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884

John Bluedorn and Haelim Park

16-02: Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios

Mark Flood and Phillip Monin

16-01: Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets

Jill Cetina, Mark Paddrik and Sriram Rajan

15-23: Safe Assets as Commodity Money

Maya Eden and Benjamin Kay

15-22: Regulatory Arbitrage in Repo Markets

Benjamin Munyan

15-21: Contagion in Financial Networks

Paul Glasserman and H. Peyton Young

15-20: The Difficult Business of Measuring Banks' Liquidity: Understanding the Liquidity Coverage Ratio

Jill Cetina and Katherine Gleason

15-19: Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios

Jingnan Chen, Mark Flood and Richard B. Sowers

15-18: An Agent-based Model for Crisis Liquidity Dynamics

Richard Bookstaber and Mark Paddrik

15-17: Reference Guide to U.S. Repo and Securities Lending Markets

Viktoria Baklanova, Adam Copeland and Rebecca McCaughrin

15-16: Bounding Wrong-Way Risk in Measuring Counterparty Risk

Paul Glasserman and Linan Yang

15-15: How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Chester Curme, Rosario Mantegna, Dror Y. Kenett, Michele Tumminello and H. Eugene Stanley

15-14: Economic Uncertainty and Commodity Futures Volatility

Sumudu Watugala

15-13: Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures

Mark Flood, Phillip Monin and Lina Bandyopadhyay

15-12: Dynamical Macroprudential Stress Testing Using Network Theory

Dror Y. Kenett, Sary Levy-Carciente, Adam Avakian, H. Eugene Stanley and Shlomo Havlin

15-11: Systemwide Commonalities in Market Liquidity

Mark Flood, John C. Liechty and Thomas Piontek

15-10: Are the Borrowing Costs of Large Financial Firms Unusual?

Javed Ahmed, Christopher Anderson and Rebecca Zarutskie

15-09: The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads

Jill Cetina and Bert Loudis

15-08: Systemic Risk: The Dynamics under Central Clearing

Agostino Capponi, Allen Cheng and Sriram Rajan

15-07: Hidden Illiquidity with Multiple Central Counterparties

Paul Glasserman, Ciamac C. Moallemi and Kai Yuan

15-06: The Effect of Negative Equity on Mortgage Default: Evidence from HAMP PRA

Therese C. Scharlemann and Stephen H. Shore

15-05: Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve System

Charles W. Calomiris, Matthew Jaremski, Haelim Park and Gary Richardson

15-04: Contract as Automaton: The Computational Representation of Financial Agreements

Mark Flood and Oliver R. Goodenough

15-03: Market Liquidity and Heterogeneity in the Investor Decision Cycle

Richard Bookstaber, Michael D. Foley and Brian F. Tivnan

15-02: Are the Federal Reserve's Stress Test Results Predictable?

Paul Glasserman and Gowtham Tangirala

15-01: Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

Richard Bookstaber, Paul Glasserman, Garud Iyengar, Yu Luo, Venkat Venkatasubramanian and Zhizun Zhang

14-10: Concentrated Capital Losses and the Pricing of Corporate Credit Risk

Emil Siriwardane

14-09: Effects of Limit Order Book Information Level on Market Stability Metrics

Mark Paddrik, Roy Hayes, William Scherer and Peter Beling

14-08: Hedging Market Risk in Optimal Liquidation

Phillip Monin

14-07: Structural GARCH: The Volatility-Leverage Connection

Robert Engle and Emil Siriwardane

14-06: Design of Risk Weights

Paul Glasserman and Wanmo Kang

14-05: An Agent-based Model for Financial Vulnerability

Rick Bookstaber, Mark Paddrik and Brian Tivnan

14-04: Shadow Banking: The Money View

Zoltan Pozsar

14-03: A Map of Funding Durability and Risk

Andrea Aguiar, Rick Bookstaber and Thomas Wipf

14-02: The Application of Visual Analytics to Financial Stability Monitoring

Mark Flood, Victoria Lemieux, Margaret Varga and B.L. William Wong

14-01: Competition in Lending and Credit Ratings

Javed Ahmed

13-09: Common Ground: The Need for a Universal Mortgage Loan Identifier

Matthew McCormick and Lynn Calahan

13-08: Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality

Mark Flood, Jonathan Katz, Stephen Ong and Adam Smith

13-07: Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future

Rick Bookstaber, Jill Cetina, Greg Feldberg, Mark Flood and Paul Glasserman

13-06: How Likely is Contagion in Financial Networks?

Paul Glasserman and H. Peyton Young

13-05: The History of Cyclical Macroprudential Policy in the United States

Douglas J. Elliott, Greg Feldberg and Andreas Lehnert

13-04: Stress Scenario Selection by Empirical Likelihood

Paul Glasserman, Chulmin Kang and Wanmo Kang

13-03: Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach

Ozgur (Ozzy) Akay, Zeynep Senyuz and Emre Yoldas

13-02: Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty

Mark Flood and George G. Korenko

13-01: CoCos, Bail-in, and Tail Risk

Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger

12-03: Using Agent-Based Models for Analyzing Threats to Financial Stability

Richard Bookstaber

12-02: Forging Best Practices in Risk Management

Mark J. Flannery, Paul Glasserman, David K.A. Mordecai and Cliff Rossi

12-01: A Survey of Systemic Risk Analytics

Dimitrios Bisias, Mark Flood, Andrew Lo and Stavros Valavanis