OFR Working Paper Series

The Office of Financial Research Working Paper Series offers staff and their co-authors an opportunity to disseminate their preliminary research findings in a format intended to generate discussion and critical comments. The goal is to inform and improve the quality of the analysis conducted by the OFR. The working papers are considered works in progress and are subject to revision. The views and opinions expressed in the working papers are those of the authors and do not necessarily represent official OFR positions or policy.

2013

• The History of Cyclical Macroprudential Policy in the United States (5/15/2013)
  Douglas J. Elliott, Greg Feldberg, Andreas Lehnert
   
• Stress Scenario Selection by Empirical Likelihood (4/9/2013)
  Paul Glasserman, Chulmin Kang, Wanmo Kang
  
 
• Hedge Fund Contagion and Risk‐adjusted Returns:
  A Markov‐switching Dynamic Factor Approach (3/13/2013)
  Ozgur (Ozzy) Akay, Zeynep Senyuz, Emre Yoldas
 
• Systematic Scenario Selection (2/7/2013)
  Mark D. Flood, George G. Korenko
  source code (zipped file in Matlab format)
 
• CoCos, Bail-In, and Tail Risk (1/23/2013)
  Nan Chen, Paul Glasserman, Behzad Nouri, Markus Pelger
  

2012

• Using Agent-Based Models for Analyzing Threats to Financial Stability (12/21/2012)
  Richard Bookstaber
  
  
• Forging Best Practices in Risk Management (3/26/2012)
  Mark J. Flannery, Paul Glasserman, David K.A. Mordecai, Cliff Rossi
  
  
• A Survey of Systemic Risk Analytics (1/10/2012)
  Dimitrios Bisias, Mark Flood, Andrew W. Lo, Stavros Valavanis