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Working Papers / Office of Financial Research, US Department of the Treasury

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
11
Impact Factor
0.1
5 Years IF
0.67
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.18 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.21 0 0 0 0 0 0 0 0 0 0 0.12
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.13
1998 0 0.24 0 0 0 0 0 0 0 0 0 0 0.15
1999 0 0.32 0 0 0 0 0 0 0 0 0 0 0.21
2000 0 0.44 0 0 0 0 0 0 0 0 0 0 0.2
2001 0 0.4 0 0 0 0 0 0 0 0 0 0 0.22
2002 0 0.42 0 0 0 0 0 0 0 0 0 0 0.23
2003 0 0.42 0 0 0 0 0 0 0 0 0 0 0.24
2004 0 0.47 0 0 0 0 0 0 0 0 0 0 0.27
2005 0 0.49 0 0 0 0 0 0 0 0 0 0 0.29
2006 0 0.47 0 0 0 0 0 0 0 0 0 0 0.27
2007 0 0.39 0 0 0 0 0 0 0 0 0 0 0.22
2008 0 0.46 0 0 0 0 0 0 0 0 0 0 0.23
2009 0 0.43 0 0 0 0 0 0 0 0 0 0 0.22
2010 0 0.37 0 0 0 0 0 0 0 0 0 0 0.19
2011 0 0.46 0 0 0 0 0 0 0 0 0 0 0.25
2012 0 0.5 0.33 0 3 3 236 1 1 0 0 0 1 0.33 0.25
2013 3.67 0.5 1.6 3.67 12 15 54 24 25 3 11 3 11 6 25 11 0.92 0.24
2014 1 0.53 0.79 1 9 24 63 19 44 15 15 15 15 4 21.1 3 0.33 0.27
2015 1.05 0.53 1.52 2.25 24 48 100 73 117 21 22 24 54 9 12.3 9 0.38 0.27
2016 0.79 0.54 1.34 1.42 14 62 58 83 200 33 26 48 68 12 14.5 10 0.71 0.27
2017 0.58 0.54 1.03 1.03 7 69 14 71 271 38 22 62 64 2 2.8 0 0.27
2018 0.67 0.53 1.12 0.65 6 75 3 84 355 21 14 66 43 0 0 0.26
2019 0.62 0.55 0.81 0.6 4 79 2 63 419 13 8 60 36 1 1.6 0 0.32
2020 0.1 0.63 0.93 0.67 5 84 7 78 497 10 1 55 37 3 3.8 2 0.4 0.58
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12012A Survey of Systemic Risk Analytics. (2012). Flood, Mark ; Bisias, Dimitrios ; Valavanis, Stavros . In: Working Papers. RePEc:ofr:wpaper:12-01.

Full description at Econpapers || Download paper

219
22014An Agent-based Model for Financial Vulnerability. (2014). Paddrik, Mark ; Bookstaber, Rick ; Tivnan, Brian . In: Working Papers. RePEc:ofr:wpaper:14-05.

Full description at Econpapers || Download paper

25
32015Are the Borrowing Costs of Large Financial Firms Unusual?. (2015). Ahmed, Javed ; Zarutskie, Rebecca ; Anderson, Christopher. In: Working Papers. RePEc:ofr:wpaper:15-10.

Full description at Econpapers || Download paper

22
42014Shadow Banking: The Money View. (2014). Pozsar, Zoltan. In: Working Papers. RePEc:ofr:wpaper:14-04.

Full description at Econpapers || Download paper

21
52016Bank Networks and Systemic Risk: Evidence from the National Banking Acts. (2016). Wang, Jessie ; Paddrik, Mark. In: Working Papers. RePEc:ofr:wpaper:16-13.

Full description at Econpapers || Download paper

20
62015Dynamical Macroprudential Stress Testing Using Network Theory. (2015). Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Levy-Carciente, Sary ; Kenett, Dror Y. In: Working Papers. RePEc:ofr:wpaper:15-12.

Full description at Econpapers || Download paper

20
72012Using Agent-Based Models for Analyzing Threats to Financial Stability. (2012). Bookstaber, Richard. In: Working Papers. RePEc:ofr:wpaper:12-03.

Full description at Econpapers || Download paper

20
82013Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach. (2013). Akay, Ozgur ; Yoldas, Emre ; Senyuz, Zeynep. In: Working Papers. RePEc:ofr:wpaper:13-03.

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15
92013CoCos, Bail-In, and Tail Risk. (2013). Glasserman, Paul ; Kang, Wanmo. In: Working Papers. RePEc:ofr:wpaper:13-04.

Full description at Econpapers || Download paper

15
102013Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach. (2013). Glasserman, Paul ; Young, Peyton. In: Working Papers. RePEc:ofr:wpaper:13-06.

Full description at Econpapers || Download paper

14
112015Regulatory Arbitrage in the Repo Market. (2015). Munyan, Benjamin. In: Working Papers. RePEc:ofr:wpaper:15-22.

Full description at Econpapers || Download paper

13
122015Are the Federal Reserves Stress Test Results Predictable?. (2015). Glasserman, Paul ; Tangirala, Gowtham . In: Working Papers. RePEc:ofr:wpaper:15-02.

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10
132013Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty. (2013). Elliott, Douglas J. ; Lehnert, Andreas ; Feldberg, Greg . In: Working Papers. RePEc:ofr:wpaper:13-05.

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9
142015Economic Uncertainty and Commodity Futures Volatility. (2015). Watugala, Sumudu W. In: Working Papers. RePEc:ofr:wpaper:15-14.

Full description at Econpapers || Download paper

8
152017How Safe are Central Counterparties in Derivatives Markets?. (2017). Paddrik, Mark ; Young, Peyton H. In: Working Papers. RePEc:ofr:wpaper:17-06.

Full description at Econpapers || Download paper

8
162016Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks. (2016). Paddrik, Mark ; Zhang, Xingjia ; Yang, Steve ; Liu, Anqi. In: Working Papers. RePEc:ofr:wpaper:16-14.

Full description at Econpapers || Download paper

7
172015Hidden Illiquidity with Multiple Central Counterparties. (2015). Yuan, Kai ; Moallemi, Ciamac C ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:15-07.

Full description at Econpapers || Download paper

7
182014A Map of Funding Durability and Risk. (2014). Aguiar, Andrea ; Wipf, Thomas ; Bookstaber, Rick . In: Working Papers. RePEc:ofr:wpaper:14-03.

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7
192016Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market. (2016). Allahrakha, M. ; Munyan, Benjamin. In: Working Papers. RePEc:ofr:wpaper:16-11.

Full description at Econpapers || Download paper

7
202016Interconnectedness in the Global Financial Market. (2016). Raddant, Matthias ; Kenett, Dror Y. In: Working Papers. RePEc:ofr:wpaper:16-09.

Full description at Econpapers || Download paper

6
212015Reference Guide to U.S. Repo and Securities Lending Markets. (2015). Copeland, Adam ; Baklanova, Viktoria ; McCaughrin, Rebecca . In: Working Papers. RePEc:ofr:wpaper:15-17.

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6
222016Does OTC Derivatives Reform Incentivize Central Clearing?. (2016). Glasserman, Paul ; Ghamami, Samim. In: Working Papers. RePEc:ofr:wpaper:16-07.

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6
232014The Application of Visual Analytics to Financial Stability Monitoring. (2014). Lemieux, Victoria ; Flood, Mark ; B. L. William Wong, ; Varga, Margaret . In: Working Papers. RePEc:ofr:wpaper:14-02.

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6
242015Systemic Risk: The Dynamics under Central Clearing. (2015). Rajan, Sriram ; Cheng, Allen W ; Capponi, Agostino. In: Working Papers. RePEc:ofr:wpaper:15-08.

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5
252020Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds. (2020). Monin, Phillip ; Barth, Daniel. In: Working Papers. RePEc:ofr:wpaper:20-03.

Full description at Econpapers || Download paper

5
262013Stress Scenario Selection by Empirical Likelihood. (2013). Flood, Mark ; Bookstaber, Rick ; Glasserman, Paul ; Feldberg, Greg ; Cetina, Jill. In: Working Papers. RePEc:ofr:wpaper:13-07.

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5
272014Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09.

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5
282017The OFR Financial Stress Index. (2017). Monin, Phillip. In: Working Papers. RePEc:ofr:wpaper:17-04.

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5
292016A Map of Collateral Uses and Flows. (2016). Wipf, Thomas ; Bookstaber, Richard ; Kenett, Dror Y ; Aguiar, Andrea . In: Working Papers. RePEc:ofr:wpaper:16-06.

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5
302018Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs. (2018). Weber, Marko ; Glasserman, Paul ; Capponi, Agostino. In: Working Papers. RePEc:ofr:wpaper:18-04.

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4
312015Bounding Wrong-Way Risk in Measuring Counterparty Risk. (2015). Yang, Linan ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:15-16.

Full description at Econpapers || Download paper

4
322016The Real Consequences of Bank Mortgage Lending Standards. (2016). Driscoll, John ; Kay, Benjamin S ; Vojtech, Cindy M. In: Working Papers. RePEc:ofr:wpaper:16-05.

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3
332015Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures. (2015). Bandyopadhyay, Lina ; Monin, Phillip ; Flood, Mark D. In: Working Papers. RePEc:ofr:wpaper:15-13.

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3
342013Systematic Scenario Selection. (2013). Flood, Mark ; Korenko, George . In: Working Papers. RePEc:ofr:wpaper:13-02.

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3
352013The History of Cyclical Macroprudential Policy in the United States. (2013). Flood, Mark ; Smith, Adam ; Ong, Stephen ; Katz, Jonathan. In: Working Papers. RePEc:ofr:wpaper:13-08.

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2
362014Design of Risk Weights. (2014). Glasserman, Paul ; Kang, Wanmo. In: Working Papers. RePEc:ofr:wpaper:14-06.

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2
372015Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks. (2015). Bookstaber, Richard ; Zhang, Zhizun ; Venkatasubramanian, Venkat ; Luo, YU ; Iyengar, Garud ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:15-01.

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2
382016Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884. (2016). Bluedorn, John ; Park, Haelim. In: Working Papers. RePEc:ofr:wpaper:16-03.

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2
392020The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think. (2020). Joenvaara, Juha ; Barth, Daniel ; Wermers, Russ ; Kauppila, Mikko. In: Working Papers. RePEc:ofr:wpaper:20-01.

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2
402013Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality. (2013). Smith, Adam ; Ong, Stephen ; Katz, Jonathan ; Flood, Mark. In: Working Papers. RePEc:ofr:wpaper:13-11.

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2
412016A Pilot Survey of Agent Securities Lending Activity. (2016). Baklanova, Viktoria ; Porter, Burt ; Keane, Frank ; Caglio, Cecilia. In: Working Papers. RePEc:ofr:wpaper:16-08.

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2
422016Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios. (2016). Monin, Phillip ; Flood, Mark D. In: Working Papers. RePEc:ofr:wpaper:16-02.

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2
432013CoCos, Bail-In, and Tail Risk. (2013). Chen, Nan ; Pelger, Markus ; Nouri, Behzad ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:13-01.

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2
442021Hedge Funds and the Treasury Cash-Futures Disconnect. (2021). Kahn, Robert ; Barth, Daniel. In: Working Papers. RePEc:ofr:wpaper:21-01.

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2
452016Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets. (2016). Paddrik, Mark ; Rajan, Sriram ; Cetina, Jill. In: Working Papers. RePEc:ofr:wpaper:16-01.

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2
462015Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve System. (2015). Jaremski, Matthew ; Richardson, Gary ; Park, Haelim ; Calomiris, Charles W. In: Working Papers. RePEc:ofr:wpaper:15-05.

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2
472019The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption. (2019). Watugala, Sumudu ; Munyan, Benjamin ; Cetina, Jill ; Allahrakha, Meraj. In: Working Papers. RePEc:ofr:wpaper:19-02.

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2
482013Common Ground: The Need for a Universal Mortgage Loan Identifier. (2013). Calahan, Lynn ; McCormick, Matthew. In: Working Papers. RePEc:ofr:wpaper:13-12.

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1
492015The Difficult Business of Measuring Banks Liquidity: Understanding the Liquidity Coverage Ratio. (2015). Gleason, Katherine ; Cetina, Jill. In: Working Papers. RePEc:ofr:wpaper:15-20.

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1
502016Contagion in the CDS Market. (2016). Paddrik, Mark ; Young, Peyton H. In: Working Papers. RePEc:ofr:wpaper:16-12.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12012A Survey of Systemic Risk Analytics. (2012). Flood, Mark ; Bisias, Dimitrios ; Valavanis, Stavros . In: Working Papers. RePEc:ofr:wpaper:12-01.

Full description at Econpapers || Download paper

68
22014An Agent-based Model for Financial Vulnerability. (2014). Paddrik, Mark ; Bookstaber, Rick ; Tivnan, Brian . In: Working Papers. RePEc:ofr:wpaper:14-05.

Full description at Econpapers || Download paper

14
32015Dynamical Macroprudential Stress Testing Using Network Theory. (2015). Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Levy-Carciente, Sary ; Kenett, Dror Y. In: Working Papers. RePEc:ofr:wpaper:15-12.

Full description at Econpapers || Download paper

11
42016Bank Networks and Systemic Risk: Evidence from the National Banking Acts. (2016). Wang, Jessie ; Paddrik, Mark. In: Working Papers. RePEc:ofr:wpaper:16-13.

Full description at Econpapers || Download paper

10
52015Are the Borrowing Costs of Large Financial Firms Unusual?. (2015). Ahmed, Javed ; Zarutskie, Rebecca ; Anderson, Christopher. In: Working Papers. RePEc:ofr:wpaper:15-10.

Full description at Econpapers || Download paper

9
62015Regulatory Arbitrage in the Repo Market. (2015). Munyan, Benjamin. In: Working Papers. RePEc:ofr:wpaper:15-22.

Full description at Econpapers || Download paper

7
72013Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach. (2013). Akay, Ozgur ; Yoldas, Emre ; Senyuz, Zeynep. In: Working Papers. RePEc:ofr:wpaper:13-03.

Full description at Econpapers || Download paper

6
82020Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds. (2020). Monin, Phillip ; Barth, Daniel. In: Working Papers. RePEc:ofr:wpaper:20-03.

Full description at Econpapers || Download paper

5
92017The OFR Financial Stress Index. (2017). Monin, Phillip. In: Working Papers. RePEc:ofr:wpaper:17-04.

Full description at Econpapers || Download paper

5
102013Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach. (2013). Glasserman, Paul ; Young, Peyton. In: Working Papers. RePEc:ofr:wpaper:13-06.

Full description at Econpapers || Download paper

5
112017How Safe are Central Counterparties in Derivatives Markets?. (2017). Paddrik, Mark ; Young, Peyton H. In: Working Papers. RePEc:ofr:wpaper:17-06.

Full description at Econpapers || Download paper

5
122014Shadow Banking: The Money View. (2014). Pozsar, Zoltan. In: Working Papers. RePEc:ofr:wpaper:14-04.

Full description at Econpapers || Download paper

4
132016Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks. (2016). Paddrik, Mark ; Zhang, Xingjia ; Yang, Steve ; Liu, Anqi. In: Working Papers. RePEc:ofr:wpaper:16-14.

Full description at Econpapers || Download paper

4
142015Hidden Illiquidity with Multiple Central Counterparties. (2015). Yuan, Kai ; Moallemi, Ciamac C ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:15-07.

Full description at Econpapers || Download paper

4
152016A Map of Collateral Uses and Flows. (2016). Wipf, Thomas ; Bookstaber, Richard ; Kenett, Dror Y ; Aguiar, Andrea . In: Working Papers. RePEc:ofr:wpaper:16-06.

Full description at Econpapers || Download paper

4
162018Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs. (2018). Weber, Marko ; Glasserman, Paul ; Capponi, Agostino. In: Working Papers. RePEc:ofr:wpaper:18-04.

Full description at Econpapers || Download paper

4
172013CoCos, Bail-In, and Tail Risk. (2013). Glasserman, Paul ; Kang, Wanmo. In: Working Papers. RePEc:ofr:wpaper:13-04.

Full description at Econpapers || Download paper

4
182015Systemic Risk: The Dynamics under Central Clearing. (2015). Rajan, Sriram ; Cheng, Allen W ; Capponi, Agostino. In: Working Papers. RePEc:ofr:wpaper:15-08.

Full description at Econpapers || Download paper

3
192016Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market. (2016). Allahrakha, M. ; Munyan, Benjamin. In: Working Papers. RePEc:ofr:wpaper:16-11.

Full description at Econpapers || Download paper

3
202015Bounding Wrong-Way Risk in Measuring Counterparty Risk. (2015). Yang, Linan ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:15-16.

Full description at Econpapers || Download paper

3
212012Using Agent-Based Models for Analyzing Threats to Financial Stability. (2012). Bookstaber, Richard. In: Working Papers. RePEc:ofr:wpaper:12-03.

Full description at Econpapers || Download paper

2
222021Hedge Funds and the Treasury Cash-Futures Disconnect. (2021). Kahn, Robert ; Barth, Daniel. In: Working Papers. RePEc:ofr:wpaper:21-01.

Full description at Econpapers || Download paper

2
232015Economic Uncertainty and Commodity Futures Volatility. (2015). Watugala, Sumudu W. In: Working Papers. RePEc:ofr:wpaper:15-14.

Full description at Econpapers || Download paper

2
242020The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think. (2020). Joenvaara, Juha ; Barth, Daniel ; Wermers, Russ ; Kauppila, Mikko. In: Working Papers. RePEc:ofr:wpaper:20-01.

Full description at Econpapers || Download paper

2
252016A Pilot Survey of Agent Securities Lending Activity. (2016). Baklanova, Viktoria ; Porter, Burt ; Keane, Frank ; Caglio, Cecilia. In: Working Papers. RePEc:ofr:wpaper:16-08.

Full description at Econpapers || Download paper

2
262016Interconnectedness in the Global Financial Market. (2016). Raddant, Matthias ; Kenett, Dror Y. In: Working Papers. RePEc:ofr:wpaper:16-09.

Full description at Econpapers || Download paper

2
272016Does OTC Derivatives Reform Incentivize Central Clearing?. (2016). Glasserman, Paul ; Ghamami, Samim. In: Working Papers. RePEc:ofr:wpaper:16-07.

Full description at Econpapers || Download paper

2
282019The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption. (2019). Watugala, Sumudu ; Munyan, Benjamin ; Cetina, Jill ; Allahrakha, Meraj. In: Working Papers. RePEc:ofr:wpaper:19-02.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor: 1
YearTitle
2020Leverage and Risk in Hedge Funds. (2020). Hammond, Laurel ; Barth, Daniel ; Monin, Phillip. In: Working Papers. RePEc:ofr:wpaper:20-02.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2020
YearCiting document
2020The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think. (2020). Joenvaara, Juha ; Barth, Daniel ; Wermers, Russ ; Kauppila, Mikko. In: Working Papers. RePEc:ofr:wpaper:20-01.

Full description at Econpapers || Download paper

2020Leverage and Risk in Hedge Funds. (2020). Hammond, Laurel ; Barth, Daniel ; Monin, Phillip. In: Working Papers. RePEc:ofr:wpaper:20-02.

Full description at Econpapers || Download paper

Recent citations received in 2019
YearCiting document

Recent citations received in 2018
YearCiting document

Recent citations received in 2017
YearCiting document