Latest from the OFR

Analysis

Financial Markets Monitor

August 24, 2015

Market Sentiment Deteriorates Following China’s Currency Devaluation

Market Sentiment Deteriorates Following China’s Currency Devaluation

Risk aversion intensified in August following China’s surprise renminbi devaluation and its shift toward a more market-oriented currency regime. The currency moves magnified market concerns about slowing global growth and inflation, causing pronounced sell-offs in markets for commodities, emerging market currencies, and global equities.

News & Events

Conferences

August 20, 2015

Interdisciplinary Approaches to Financial Stability

The OFR and the University of Michigan are sponsoring a conference Oct. 22-23 in Ann Arbor, Mich., to explore how methods from diverse fields, such as system analysis, agent-based modeling, and data visualization, can be used to identify, measure, monitor, and mitigate risks to the financial system.

Analysis

Working Papers

August 19, 2015

Bounding Wrong-Way Risk in Measuring Counterparty Risk

Bounding Wrong-Way Risk in Measuring Counterparty Risk

By Paul Glasserman and Linan Yang

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.

Analysis

Working Papers

August 13, 2015

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

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

By Chester Curme, Rosario N. 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.

News & Events

Conferences

August 10, 2015

2015 Financial Stability Conference - Financial Stability: Policy Analysis and Data Needs

CALL FOR PAPERS: The OFR and the Federal Reserve Bank of Cleveland are inviting the submission of research and policy-oriented papers for their 2015 Financial Stability Conference December 3-4, 2015, in Washington, D.C. This conference will concentrate on data requirements for macroprudential policy development and implementation, and recent advances in systemic risk measurement and forecasting tools.

Analysis

Working Papers

August 6, 2015

Economic Uncertainty and Commodity Futures Volatility

Economic Uncertainty and Commodity Futures Volatility

By Sumudu W. Watugala

This paper investigates the dynamics of commodity futures volatility and analyzes the impact of increased emerging market demand on commodity markets.

News & Events

From the Management Team

August 5, 2015

Financial Company Reference Database Now Available for Free to the Public

Financial Company Reference Database Now Available for Free to the Public

By Matthew Reed

A financial company reference database envisioned by the Dodd-Frank Act has become a reality. The international database is free, frequently updated with new information, and available.

Analysis

Briefs

August 4, 2015

A Comparison of U.S. and International Global  Systemically Important Banks

A Comparison of U.S. and International Global Systemically Important Banks

By Paul Glasserman and Bert Loudis

Among global systemically important banks (G-SIBs), U.S. banks rank high in systemic importance relative to foreign banks. G-SIBs with higher systemic importance scores do not consistently have higher risk-based capital ratios, despite the importance of capital as a buffer against failure.

Analysis

Working Papers

July 30, 2015

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

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

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.

Analysis

Briefs

July 22, 2015

Incorporating Liquidity Shocks and Feedbacks in Bank Stress Tests

Incorporating Liquidity Shocks and Feedbacks in Bank Stress Tests

By Jill Cetina

This brief discusses how stress tests could incorporate four types of shocks — to credit, funding, liquidity, and collateral values — and shows that shocks can affect regulatory ratios for capital and liquidity simultaneously. Additionally, in times of stress, a bank’s responses to a binding regulatory ratio can spread shocks to other banks.