Working Papers

From Office of Financial Research, US Department of the Treasury
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21-03: Counterparty Choice, Bank Interconnectedness, and Systemic Risk

Andrew Ellul and Dasol Kim

21-02: Assessing the Safety of Central Counterparties

Mark Paddrik and H. Peyton Young

21-01: Hedge Funds and the Treasury Cash-Futures Disconnect

Daniel Barth and Robert Kahn

20-05: Credit Risk and the Transmission of Interest Rate Shocks

Berardino Palazzo and Ram Yamarthy

20-04: Central Counterparty Default Waterfalls and Systemic Loss

Mark Paddrik and Simpson Zhang

20-03: Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds

Daniel Barth and Phillip Monin

20-02: Leverage and Risk in Hedge Funds

Daniel Barth, Laurel Hammond and Phillip Monin

20-01: The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think

Daniel Barth, Juha Joenvaara, Mikko Kauppila and Russell Wermers

19-04: Cross-Asset Market Order Flow, Liquidity, and Price Discovery

Robert Garrison, Pankaj Jain and Mark Paddrik

19-03: The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Mathias Kruttli, Phillip Monin and Sumudu Watugala

19-02: The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption

M. Allahrakha, Jill Cetina, Benjamin Munyan and Sumudu Watugala

19-01: Market-Making Costs and Liquidity: Evidence from CDS Markets

Mark Paddrik and Stathis Tompaidis

18-06: Reducing Moral Hazard at the Expense of Market Discipline: The Effectiveness of Double Liability Before and During the Great Depression

Haelim Anderson, Daniel Barth and Dong Beom Choi

18-05: OTC Intermediaries

Andrea Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane

18-04: Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs

Agostino Capponi, Paul Glasserman and Marko Weber

18-03: Reputational Dynamics in Financial Networks During a Crisis

Simpson Zhang and Mihaela van der Schaar

18-02: Competitive Pay and Excessive Manager Risk-taking

Jen-Wen Chang and Simpson Zhang

18-01: The OFR Financial System Vulnerabilities Monitor

Joe McLaughlin, Nathan Palmer, Adam Minson and Eric Parolin

17-07: Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Mathias Kruttli, Phillip Monin and Sumudu Watugala

17-06: How Safe are Central Counterparties in Derivatives Markets?

Mark Paddrik and H. Peyton Young

17-05: The Intersection of U.S. Money Market Mutual Fund Reforms, Bank Liquidity Requirements, and the Federal Home Loan Bank System

Kenechukwu Anadu and Viktoria Baklanova

17-04: The OFR Financial Stress Index

Phillip Monin

17-03: The Complexity of Bank Holding Companies: A New Measurement Approach

Mark Flood, Dror Kennett, Robin Lumsdaine and Jonathan Simon

17-02: Europe's CoCos Provide a Lesson on Uncertainty

Katherine Gleason, Steve Bright, Francis Martinez and Charles Taylor

17-01: Persistence and Procyclicality in Margin Requirements

Paul Glasserman and Qi Wu

16-14: Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks

Anqi Liu, Mark Paddrik, Steve Yang and Xingjia Zhang

16-13: Bank Networks and Systemic Risk: Evidence from the National Banking Acts

Mark Paddrik and Jessie Wang

16-12: Contagion in the CDS Market

Mark Paddrik 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 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 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, Dror Kennett, Richard Bookstaber and Thomas Wipf

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

Cindy Vojtech, Benjamin 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 the Repo Market

Benjamin Munyan

15-21: Contagion in Financial Markets

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 Sowers

15-18: An Agent-Based Model of Liquidity

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

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