Latest from the OFR

Analysis

Financial Markets Monitor

February 25, 2015

Volatility Returns Amid Oil Price Declines, European Developments

At the OFR, we supplement our analysis with market intelligence that is essential for timely spotting of emerging vulnerabilities and threats to financial stability. We regularly make summaries of this analysis available to the Financial Stability Oversight Council and its Systemic Risk Committee. We are launching today a Financial Markets Monitor based on this analysis. By summarizing major developments and emerging trends in global capital markets, the monitor is designed to be a useful tool for financial stability assessment. By making it public, we aim to increase transparency and enhance the availability of financial information.

Inside the OFR

Strategy & Budget

February 19, 2015

Office of Financial Research Strategic Plan Fiscal Years 2015-2019

This plan provides OFR leaders with a roadmap for achieving the Office’s mission, vision, goals, and objectives. It also fulfills the OFR's commitment to being transparent and accountable, and to linking activities to strategic goals and performance metrics.

Analysis

Briefs

February 12, 2015

Systemic Importance Indicators for 33 U.S. Bank Holding Companies: An Overview of Recent Data

By Meraj Allahrakha, Paul Glasserman, and H. Peyton Young

This brief analyzes new data about the nation’s most systemically important bank holding companies — financial institutions whose failure could pose the greatest threat to the international financial system.

News & Events

From the Management Team

February 12, 2015

OFR Brief Examines Data on Systemically Important Bank Holding Companies

By Patricia Mosser

The OFR released a brief today analyzing new data about the nation’s most systemically important bank holding companies — financial institutions whose failure could pose the greatest threat to the international financial system.

Analysis

Working Papers

February 11, 2015

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

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

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.

News & Events

From the Director

February 03, 2015

Financialresearch.gov: A New Website for the OFR

By Richard Berner

Today we are launching www.financialresearch.gov, a new website for the Office of Financial Research. Version 1.0 will, at a stroke, create our own place in cyberspace – one where we will make public our work.

News & Events

Press Releases

February 03, 2015

Office of Financial Research Launches New Website

The U.S. Office of Financial Research launched a new website today to provide policy makers and the public better access to the OFR’s high-quality data and independent analysis that helps to promote financial stability.

News & Events

Conferences

January 30, 2015

Evaluating Macroprudential Tools: Complementarities and Conflicts

This fourth annual conference jointly sponsored by the OFR and the Financial Stability Oversight Council provided a venue for assessing and critiquing the state of the art in measuring and analyzing the factors contributing to financial stability, as well as the threats to it. The goal was to provoke new thinking about the data, research, and policy issues regulators and supervisors face, focused on the challenges in developing, evaluating, and improving financial stability tools. The conference had four panels (on stress testing, resolution, liquidity regulation, and margins and haircuts). Each panel featured a mix of academics, officials, and market participants.

Analysis

Staff Discussion Papers

January 23, 2015

Clustering Techniques and Their Effect on Portfolio Formation and Risk Analysis

By Victoria Lemieux, Payam S. Rahmdel, Rick Walker, B.L. William Wong, and Mark Flood

Risk can be distributed in complex and unexpected ways across financial markets. Grouping financial assets into broad portfolios is a common practice, but this aggregation tends to hide important nuances of the overall risk profile. For example, large long and short positions may individually be important, but cancel out in the aggregate. This paper introduces the “RiskMapper,” an interactive, visual tool for exploring the benefits of different approaches for aggregating and disaggregating financial portfolios. It describes early-stage research into the strengths, weaknesses, and ramifications of different rules, risk measures, and visualization approaches.

News & Events

Conferences

January 16, 2015

Joint Workshop by the Bank of England, European Central Bank, and the OFR, 'Setting Global Standards for Granular Data'

A key aspect of international regulatory reform has been enhancing the breadth, depth, quality, and timeliness of data disclosed by financial firms to central banks and supervisory authorities. During the financial crisis, many financial firms were not equipped with the infrastructure to quickly aggregate their data across legal entities and counterparties. As recently highlighted by the Basel Committee on Banking Supervision, this shortcoming impaired the ability of central banks and supervisory authorities to identify appropriate recovery-and-resolution mechanisms for firms.