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The office of financial research

the office of financial research

The Office of Financial Research (OFR) is an independent bureau of the United States Treasury Department. The office was established in July with the. The Office of Financial Research (OFR) helps to promote financial stability by looking across the financial system to measure and analyze risks. This series allows members of the OFR staff and their coauthors to disseminate preliminary research findings in a format intended to generate discussion and. REAL FOREX TACTICS Step 9: Use auto-configuration tools where Need some more Remote Category and with auto-install features, of post is create a table. There are several up on my. And using this.

The paper analyzes nearly 4, stocks in 15 countries. It concludes that stock returns tend to move together within regions — but not across them — in times of stability, but move in sync globally in times of crisis. A new securities lending survey sheds light on these transactions that help underpin smooth-functioning capital markets. Collecting these data on a permanent basis could help regulators identify potential vulnerabilities in a key component of our financial system. The requirement that standardized over-the-counter derivatives be cleared through central counterparties, or CCPs, is intended in part to create a cost incentive favoring central clearing.

This working paper shows that the cost incentive does not necessarily favor central clearing, and when it does, it might be because of insufficient levels of guarantee funds, which banks provide to protect CCPs in the event of CCP member default. Kenett, and Thomas Wipf. Collateral is exchanged among market participants to support financial activities, including secured funding, securities lending, securities exchanges, margin lending, derivatives, and clearing. This working paper creates a collateral map to show how collateral moves among bilateral counterparties, triparty banks, and central counterparties, and can spread stress through the financial system.

The paper also discusses the recent increase in collateral demand, effects of post-crisis regulation, and collateral-related stress scenarios. May 11, By Cindy M. Vojtech, Benjamin S. Kay, and John C. This paper describes how mortgage lending standards, as measured by responses to the Federal Reserve's quarterly Senior Loan Officer Opinion Survey, relate to changes in the availability of mortgage loans at banks from to The research suggests that the survey's reported changes in credit standards are a leading indicator of the financial industry's vulnerability to shocks.

This paper investigates the use of automated text analysis by computers as a tool for monitoring financial stability. The authors find negative sentiment extracted from tens of thousands of news articles about 50 large financial services companies is useful in forecasting volatility in the stock market. The method, which also considers the "unusualness" of news, may help anticipate stress in the financial system. This working paper examines how a bailout orchestrated by New York Clearinghouse member banks stopped financial contagion during the Panic of The private-sector assistance to Metropolitan National Bank, an important correspondent bank for many banks outside New York City, prevented a minor financial crisis in New York from becoming a broad, systemic event, according to the authors' analysis.

March 23, By Mark D. Flood and Phillip Monin. This paper examines the precision of Form PF in measuring the risk hedge funds pose to the financial system. The paper extends the methodology of a OFR working paper and finds that options significantly weaken the risk-measurement tolerances in Form PF.

This paper applies the Federal Reserve's supervisory stress test scenarios to examine the impacts on banks — and the banking system as a whole — from default of their largest counterparties in the credit derivatives markets. The authors find higher loss concentrations for the banking system than for individual firms and potential for large indirect losses when a major counterparty defaults.

This paper examines the systemic implications of the supply of liquid safe assets, such as Treasury bills. The paper explores how liquid safe assets facilitate the trades of risky assets. The paper finds that financial markets may be remarkably resilient to changes in the stock of liquid assets.

October 29, By Benjamin Munyan. This paper documents a pattern of foreign-owned broker-dealers reducing their borrowing in the U. This activity reduces their capital requirements under the leverage ratio. October 20, By Paul Glasserman and H. This paper surveys the rapidly growing literature about interconnectedness and financial stability.

The paper focuses on insights in the literature on the relationship between network structure and the vulnerability of the financial system to contagion. Bank regulators adopted a new requirement called the Liquidity Coverage Ratio after the financial crisis to help ensure banks maintain enough liquid assets to cover their financial obligations during times of stress.

This paper uses a series of increasingly complex examples to demonstrate issues in analyzing this new liquidity metric. Flood, and Richard B. Uncertainty is a crucial factor in financial stability, but it is notoriously difficult to measure. This working paper extends techniques from engineering to quantify fundamental economic uncertainty, and applies the method to an example of portfolio stress testing. By this measure, uncertainty peaked in late This paper presents an agent-based model for examining price impacts and liquidity dynamics during financial crises, which are often characterized by sharp reductions in liquidity followed by cascades of falling prices.

The model highlights the implications of changes in market makers' ability to provide intermediation services and the decision cycles of liquidity demanders versus liquidity suppliers during a crisis. This paper is a reference guide on U. It discusses the main institutional features of these markets, their vulnerabilities, and data gaps that prevent market participants and regulators from addressing known vulnerabilities.

This paper proposes a new method for bounding the impact of "wrong-way risk" on counterparty credit risk measurement for a portfolio of derivatives. Wrong-way risk refers to the possibility that a counterparty's default risk increases with the market value of the exposure. Mantegna, Dror Y. Kenett, Michele Tumminello, and H. Eugene Stanley. This paper explores how the increasing correlation among intraday stock returns affects the possibility to diversify investment risk and potentially may affect market stability.

August 6, By Sumudu W. This paper investigates the dynamics of commodity futures volatility and analyzes the impact of increased emerging market demand on commodity markets. July 30, By Mark D. Flood, Phillip Monin, and Lina Bandyopadhyay. This paper examines the precision of Form PF, a regulatory filing introduced after the financial crisis to measure risk exposures for private funds, including hedge funds. The paper finds that Form PF's measurement tolerances are large enough to allow private funds with dissimilar risk profiles to report similar risk measurements to regulators.

June 18, By Dror Y. Eugene Stanley, and Shlomo Havlin. This paper presents a dynamic bipartite network model for a stress test of a banking system's sensitivity to external shocks in individual asset classes. As a case study, the model is applied to investigate the Venezuelan banking system from to The model quantifies the sensitivity of bank portfolios to different shock scenarios and identifies systemic vulnerabilities that stem from connectivity and network effects, and their time evolution.

The model provides a framework for dynamical macroprudential stress testing. May 28, By Mark D. Flood, John C. Liechty, and Thomas Piontek. This paper identifies hidden liquidity regimes high, medium and low across a broad range of financial markets that can be used for characterizing periods of market stress and identifying underlying predictors of liquidity shocks.

This regime could have provided meaningful predictions of liquidity disruptions up to 15 trading days in advance of the financial crisis. These methods offer a potential framework for monitoring and predicting a systemwide collapse in market liquidity, which could signal a collapse of liquidity in the funding markets as experienced in the financial crisis. This paper examines evidence of a too-big-to-fail subsidy for large financial firms by comparing borrowing costs of large and small firms across industries.

The paper finds that larger firms borrow more cheaply in many industries, and this size effect is often largest in nonfinancial industries. These results challenge the notion that expected government bailouts are behind borrowing cost advantages enjoyed by the largest financial firms. This paper examines credit default swap CDS spreads in a sample of international banks for evidence of a benefit related to possible measures of systemic importance.

The authors find a consistent, statistically significant negative relationship between five-year CDS spreads of banks and nine different systemic importance indicators. The paper shows that the benefit is most pronounced for banks within a certain asset range. Such evidence is weaker for banks identified by regulators as global systemically important banks.

May 7, By Agostino Capponi, W. Allen Cheng, and Sriram Rajan. This paper develops a model for concentration risks that clearing members pose to central counterparties. Over time, larger clearing members crowd out smaller clearing members. Systemic risk is created because high clearing member concentration results in relatively lower lending, higher cost of capital, and increasingly costly hedging.

To address this risk, the paper proposes a self-funding systemic risk charge. Moallemi, and Kai Yuan. This paper focuses on the systemic risks in markets cleared by multiple central counterparties CCPs. Each CCP charges margins based on the potential impact from the default of a clearing member and subsequent liquidation of a large position.

Swaps dealers can split their positions among multiple CCPs, effectively "hiding" potential liquidation costs. A lack of coordination among CCPs can lead to a "race to the bottom" because CCPs with lower perceived liquidation costs can drive competitors out of the market. May 7, By Therese C. Scharlemann and Stephen H. This paper uses data from the Home Affordable Modification Program to examine the impact of principal forgiveness on mortgage default.

On average 3. The authors estimate that the rate would have been 3. April 2, By Charles W. The Federal Reserve System was created to reduce risks related to seasonal swings in loan demand and to stabilize fluctuations in interest rates. Many state-chartered banks chose not to join the system because of the cost of the Federal Reserve's reserve requirements.

The inability to attract many state-chartered banks created indirect access to government protection lender of last resort without federal regulation. March 26, By Mark D. Flood and Oliver R. This paper shows that the fundamental legal structure of a well-written financial contract follows a logic that can be formalized mathematically as a "deterministic finite automaton.

The paper illustrates the process by representing a simple loan agreement as an automaton. Foley, and Brian F. This paper presents a model of market liquidity in which those who need to sell come into the market with a greater need for immediacy than those who are willing to buy. This is a critical market dynamic behind the illiquidity that arises during market dislocations and crises, when some are in forced-selling mode while others are hesitant to come in and take the other side of the trade.

This paper examines the results of four rounds of stress testing of the largest U. The data reveal a growing correlation in results from one year to the next, highlighting whether the stress tests in their current form may be losing some of their information value over time. The authors discuss the implications of these patterns and recommend greater diversity in the stress scenarios analyzed.

This paper demonstrates the value of signed directional graphs, a modeling methodology used for risk detection in process engineering, in tracing the path of potential instabilities and feedback loops within the financial system. This approach expands the usefulness of network models of the financial system by including critical information on the direction of influence and the points of control between the various nodes of the network.

December 22, By Emil Siriwardane. This paper uses proprietary credit default swap CDS data for to to show that capital fluctuations for sellers of CDS protection are an important determinant of CDS spread movements. This paper uses an agent-based model of the limit order book to explore how the levels of information available to participants, exchanges, and regulators can be used for insights on the stability and resiliency of a market.

November 13, By Phillip Monin. This paper discusses optimal strategies for financial institutions in selling large blocks of securities and in hedging the resulting market risk. This paper proposes a new model of volatility featuring a "leverage multiplier" by which financial leverage amplifies equity volatility. The model estimates daily asset returns and asset volatility. This paper investigates the design of risk weights used in setting minimum levels of regulatory capital for banks and presents a formula for regulators to set those weights by analyzing bank portfolios.

This paper develops an agent-based model that uses a map of funding and collateral flows to analyze the financial system's vulnerability to fire sales and runs. July 2, By Zoltan Pozsar. This paper presents an accounting framework for measuring the sources and uses of short-term funding in the global financial system and introduces a dynamic map of global funding flows.

In addition to showing the plumbing of the system, the paper also shows the processes for transforming funding liquidity, credit quality, and tenor. The paper then applies the funding map to track risk through various types of financial institutions, and to identify gaps in data needed for financial stability monitoring. May 9, By Mark D. Flood, Victoria L. Lemieux, Margaret Varga, and B. William Wong.

This paper provides an overview of visual analytics - the science of analytical reasoning enhanced by interactive visualizations produced by data analytics software - and discusses potential benefits in monitoring financial stability. April 16, By Javed I.

This paper explores the relationship between the quality of corporate credit ratings and competition in lending between the public bond market and banks. It finds that the quality of credit ratings plays a role in financial stability because the behavior of rating agencies can reduce the impact of macroeconomic shocks. The U. This paper explores tradeoffs between transparency and confidentiality in financial regulation and discusses new techniques from the fields of secure computation and statistical data privacy that can facilitate the secure sharing of financial information.

Stress testing of large bank holding companies in the United States - a valuable exercise used to determine regulatory capital and liquidity planning at these institutions - should be adapted to be made more useful for financial stability monitoring. June 21, By Paul Glasserman and H. This paper estimates how much interconnections among financial institutions - potential channels for contagion and amplification of shocks to the financial system - can increase expected losses from a wide range of shocks.

May 15, By Douglas J. Elliot, Greg Feldberg, and Andreas Lehnert. This paper presents a survey and historical narrative of policies to smooth the credit cycle in light of their potential future application as "macroprudential" policies to reduce the build-up of risks in U. This paper develops a method for selecting and analyzing stress-testing scenarios for financial risk assessment.

This paper uses a flexible framework to analyze two important phenomena influencing the hedge fund industry - contagion and time variation in risk-adjusted return. February 7, By Mark D. Flood and George G. This paper offers a technique for selecting multidimensional shock scenarios for use in financial stress testing.

The technique uses a grid search of sparse, well distributed stress-test scenarios that are considered a middle ground between traditional stress testing and reverse stress testing. This paper develops a capital structure model of a bank to analyze the incentives created by contingent convertibles CoCos and bail-in debt, which convert to equity when a bank approaches insolvency.

These two forms of contingent capital have been proposed as potential mechanisms to enhance financial stability. December 21, By Richard Bookstaber. Promoting financial stability by delivering high-quality financial data, standards and analysis principally to support the Financial Stability Oversight Council and its member agencies. This monitor presents a set of curated charts that provide insights into different dimensions of how short-term funding markets are functioning, broken down into four categories: collateral, tenor, volume, and rates.

This index is a daily market-based snapshot of stress in global markets. The OFR Financial Stress Index is positive when stress levels are above average, and negative when stress levels are below average. This monitor tracks the investment portfolios of money market funds by funds' asset types, investments in different countries, counterparties, and other characteristics. This monitor presents key measures of systemic risks posed by the largest banks, including systemic importance scores for international and U.

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