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Economists conduct original research on emerging issues affecting risk measurement, bank supervisory, and regulatory concerns. This research is shared via working papers.

Credit Risk Analysis Division Working Papers

A collection of in-depth working papers on topics related to credit-risk modeling, financial economics/econometrics, and general economics.

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All Working Papers

2015

  1. Butaru, Florentin, QingQing Chen, Brian Clark, Sanmay Das, Andrew Lo and Akhtar Siddique (2015). “Risk and Risk Management in the Credit Card Industry”, NBER Working Paper 21305 and SSRN Working Paper.
  2. Chang, Andrew and Phillip Li (2015). “Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say ‘Usually Not’”, Under Review.
  3. Chang, Andrew and Phillip Li (2015). “Measurement Error in Macroeconomic Data and Economics Research: Data Revisions, Gross Domestic Product, and Gross Domestic Income”
  4. Chang, Andrew, Phillip Li, and Shawn M. Martin (2015). “Comparing Cross-Country Estimates of Lorenz Curves Using a Dirichlet Distribution Across Estimators and Datasets.”
  5. Glennon, Dennis, Hua Kiefer, and Tom Mayock (2015) “Housing Value Estimation: An Application of Forecast Combination to Residential Property Valuation.”
  6. Guo, Zhengfeng, Deming Wu, and Xinlei Zhao (2015). “Determinants of Auto Loan Defaults and Implications on Stress Testing.” Working Paper, Office of the Comptroller of the Currency.
  7. Hasan, Iftekhar and Deming Wu (2015). “Credit Default Swaps and Bank Loan Sales: Evidence from Bank Syndicated Lending.” Working Paper, Office of the Comptroller of the Currency.
  8. Hasan, Iftekhar and Deming Wu (2015). “How Do Large Banks Use Credit Default Swaps to Manage Risks? The Bank-Firm Level Evidence.” Working Paper, Office of the Comptroller of the Currency.
  9. Kiefer, Hua and Leonard Kiefer (2015). “Underwater Homeowners Resurface: Past and Future.”
  10. Li, Phillip (2015). “Efficient MCMC Estimation of Inflated Beta Regression Models”, Under Review.
  11. Li, Phillip, Min Qi, Xiaofei Zhang, and Xinlei Zhao (2014). “Further Investigation of Parametric Loss Given Default Modeling.”
  12. Li, Xianghong and Xinlei Zhao (2015). “Strategic Defaults Induced by Loan Modifications.”
  13. Liu, Zilong, Xiaoling Pu , and Xinlei Zhao (2015). “Ownership Concentration Among Entrepreneurial Firms: The Growth Control Trade-Off.”
  14. Liu, Zilong and Xinlei Zhao (2015). “Borrowing From Suppliers Versus Borrowing From Banks.”
  15. Mayock, Tom and Rachel Spritzer (2015) “Socioeconomic and Racial Disparities in the Financial Returns to Homeownership.”
  16. Wu, Deming and Xinlei Zhao (2015). “Aggregate Liquidity Shortage, Housing Market Conditions, and Bank Failures."
  17. Wu, Deming (2015). “Do Market Makers Lean Against the Wind? Evidence from the Credit Default Swaps Market.” Working Paper, Office of the Comptroller of the Currency.

2014

  1. Andersson Fredrik, John Haltiwanger, Mark Kutzbach, Henry Pollakowski, and Daniel Weinberg (2014). "Job Displacement and the Duration of Joblessness: The Role of Spatial Mismatch," NBER Working Paper # 20066 (under review).
  2. Barakova, Irina, Hasan, M. Nazmul and Parthasarathy, Harini (2014). "Role of Collateral and Covenants in Bank Monitoring and Loss Mitigation"
  3. Chen, QingQing and Yongmiao Hong (2014). "Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach."
  4. Guo, Zhengfeng and Shage Zhang (2014), “The Effects of Securitization on Corporate Loans”
  5. Hasan, Mohammad Nazmul, Nikunj Kapadia, and Akhtar Siddique (2014). "The conservative issuer bias of corporate ratings." SSRN working paper.
  6. Li, Phillip, Qi, Min, Xiaofei Zhang and Xinlei Zhao (2014), “Further Investigation of Parametric Loss Given Default Modeling”
  7. Liu, Zilong, Xiaoling Pu, and Xinlei Zhao (2014), “Evolution of Ownership Structure and Performance of Entrepreneurial Firms”
  8. Liu, Zilong and Xinlei Zhao (2014), “The Choice Between Supplier Financing and Bank Financing”
  9. Qi, Min, Deming Wu, and Hong Yan (2014). "Credit Default Swaps and Loss Given Default: Has the CDS Market Affected the Recovery Rates of U.S. Corporate Defaults?"
  10. Shao, Pei, and Deming Wu (2014). "Syndicated Credit Cut and Firm Performance." Working Paper, Office of the Comptroller of the Currency.
  11. Sirakaya, S. (2014). "Incentive-Constrained Lending". Working Paper, Office of the Comptroller of the Currency.
  12. Tiernan, Natalie (2014). “Competition and Lending Standards in Mortgage Markets.”
  13. Tiernan, Natalie (2014). “Lender Expectations and Mortgage Lending Standards: A Panel Data Study.”
  14. Wu, Deming, and Xinlei Zhao (2014). "Systemic Risk and Bank Failures." Working Paper, Office of the Comptroller of the Currency.

2013

  1. Andersson Fredrik, John Haltiwanger, Mark Kutzbach, Giordano Palloni, Henry Pollakowski, and Daniel Weinberg (2013). "Childhood Housing and Adult Earnings: A Between-Siblings Analysis of Housing Vouchers and Public Housing," CES Working Paper 13-48.
  2. Andersson, Fredrik, Harry Holzer, Julia Lane, David Rosenblum and Jeffrey Smith (2013). "Does Federally-Funded Job Training Work? Non-experimental Estimates of WIA Impacts Using Longitudinal Data on Workers and Firms," IZA Working Paper and NBER Working Paper no 19446 (under review).
  3. Attie, Alex, Guo, Zheng-Feng, and Charles Xie (2013), "Macroeconomic Changes as Drivers of Asset and Portfolio Performance."
  4. Balta, Emre and Matthias Degen (2013). "The Limit of Diversification: A Lower Bound on Firmwide Operational Risk Capital," Working Paper, Office of the Comptroller of the Currency.
  5. Barakova, Irina and A. Palvia (2013). "Are Basel II Risk Weights Aligned with Risk?"Working paper, Presented ASSA 2013.
  6. Barakova, Irina and Harini Parthasarathy (2013). "Modeling Corporate EAD at Default 2013" SSRN Working Paper 2235218.
  7. Barakova, Irina, Dennis Glennon, and Ajay Palvia, (2013). “Sample Selection Bias in Acquisition Credit Scoring Models: An Evaluation of the Supplemental-Data Approach,” Journal of Credit Risk, 9(3), 77-117.
  8. Barakova, Irina, P. Calem and S. Wachter (2013). "Borrowing Constraints during the Housing Bubble," Submitted to Journal of Housing Economics, Presented at AEA/AREUEA 2013, AREUEA International 2013.
  9. Brownstone, David and Phillip Li (2013). "A model for broad choice data," Working Paper, Office of the Comptroller of the Currency.
  10. Chen, QingQing, Dennis Glennon and Amos Golan (2013). "Estimating Conditional Mortgage Delinquency Transition Matrices."
  11. Dahiya, Sandeep, Leora Klapper, Harini Parthasarathy and Dorothe Singer (2013). "The Role of Private Equity Investments in Public Firms: International Evidence" World Bank Policy Research Working Paper 6484.
  12. Hasan, M. Nazmul, Nikunj Kapadia and Akhtarur Siddique (September 27, 2013). "The Conservative Issuer Bias of Corporate Ratings."
  13. Hong, Han, and Deming Wu (2013). "Systemic Funding Liquidity Risk and Bank Failures." Working Paper, Office of the Comptroller of the Currency.
  14. Hong, Han, Jingzhi Huang, and Deming Wu (2013). "The Information Content of Basel III Liquidity Risk Measures." Working Paper, Office of the Comptroller of the Currency.
  15. Ihlanfeldt, Keith and Tom Mayock (2013). "Foreclosures, Crime and Housing Values: Towards a Better Understanding of the Contagion Effect."
  16. Kiefer, Hua, Leonard Kiefer and Tom Mayock (July 2013). "Should we Fear the Shadow? House Prices, Shadow Inventory, and the Nascent Housing Recovery."
  17. Li, Phillip (2013). "A note on speeding up the BLP contraction mapping," Working Paper, Office of the Comptroller of the Currency.
  18. Park, Y., S. Sirakaya and T. Y. Kim (2013). "A Dynamic Hierarchical Bayesian Model for the Probability of Default." Working Paper, Office of the Comptroller of the Currency.
  19. Sirakaya, S. (2013). ‘Numerical Approximation of Free Horizon Optimal Control Problems." Working Paper, Office of the Comptroller of the Currency.
  20. Wu, Deming (2013). "Currency Carry Trade and Bank’s Foreign Exchange Risk Management." Working Paper, Office of the Comptroller of the Currency.

2012

  1. Barakova, Irina and H. Parthasarathy (2012). "How Committed are Bank Corporate Line Commitments?" Working paper, Presented at 2012 FDIC Banking conference and ASSA/IBEFA 2013.
  2. Barakova, Irina and H. Parthasarathy (2012). "Modeling Corporate EAD," Working, Presented Quant Forum 2012, WEFAI/IBEFA2013.
  3. Barakova, Irina, Dennis Glennon, and Ajay Palvia, (2012). "Sample Selection Bias in Acquisition Credit Scoring Models: An Evaluation of the Supplemental-Data Approach."
  4. Chen, QingQing (2012). "An Intraday Analysis of Related Investing Vehicles Traded in the NYSE and AMEX."
  5. Wu, Deming, and Suning Zhang (2012). "Debt Market Liquidity and Corporate Default Prediction." SSRN Working Paper Series.

2011

  1. Chen, QingQing (2011). "Does Liquidity or Private Information Matter for International Comovement?"
  2. Chen, QingQing, Chor-Ching Goh, Bo Sun and Lixin Colin Xu (April 2011). "Market Integration in China," World Bank Policy Research Working Paper 5630.
  3. Kiefer, Hua and Leonard Kiefer (September 2011). "A Reality Check for Credit Default Models."
  4. Qi, Min and Xinlei Zhao (2011), "Debt Structure, Market Value of Firm, and Recovery Rate," OCC Economics Working Papers WP2011-2 (October).

2010

  1. Chaney, Paul, Jeter, Debra, and Zheng-Feng Guo (2010), "Selection Models and Endogeneity Issues in Accounting Research."
  2. Chen, QingQing (2010). "Endogenous Information Acquisitions, Cost of Information, and Comovement of Stock Returns"
  3. Kiefer, Hua and Leonard Kiefer (June 2010)."The Co-Movement of Mortgage Foreclosure Rate and House Price Depreciation: A Spatial Simultaneous Equation System."

2009

  1. Kiefer, Hua and Leonard Kiefer (September 2009). "Federal Reserve Policy and US State Income Dynamic."
  2. Qi, Min (2009), "Exposure at Default of Unsecured Credit Cards," OCC Economics Working Papers WP2009-2 (July).

2007

  1. Barakova, Irina (2007). "The Impact of Local Unemployment on Community Banks at Different Quantiles," Working paper.
  2. Garasky, Steve, Donald R. Haurin and Hua Kiefer (June 2007). "Locational Choice Upon First Exit from the Parental Household: Understanding the Influences of Race, Ethnicity and Assimilation."
  3. Parthasarathy, Harini (2007). "Information Asymmetry and One-Stop Shopping for Lending and Equity Underwriting Services" Harvard University Dissertation Chapter.
  4. Parthasarathy, Harini (2007). "Underwriter retention after mergers between investment banks and commercial banks" Harvard University Dissertation Chapter.
  5. Parthasarathy, Harini (2007). "Universal Banking Deregulation and Firms Choices of Lender and Equity Underwriter" SSRN Working Paper 1051262.
  6. Qi, Min and Xiaolong Yang (2007), "Loss Given Default of High Loan-to-Value Residential Mortgages," OCC Economics Working Papers WP2007-4 (August).

2006

  1. Mitchell Stengel, Mahmoud El-Gamal, and Hulusi Inanoglu (2006). "Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory," OCC Economics Working Paper – WP 2006-3, Office of the Comptroller of the Currency.

2003-1994

  1. Glennon, Dennis and Amos Golan, (2003). "A Markov Model of Bank Failure Estimated Using an Information-Theoretic Approach," Office of Comptroller of Currency, Economic and Policy Analysis Working Paper, 2003-1.
  2. Andersson, Fredrik, and Altin Vejsiu (2001)."Determinants of Plant Closures in Swedish Manufacturing," IFAU Working Paper 2001:6.
  3. Barakova, Irina and M. Carey (2001). "How Quickly Do Troubled U.S. Banks Recapitalize?"Federal Reserve working paper.
  4. Kolari, James, Dennis Glennon, Hwan Shin, and Michele Caputo, (2000). "Predicting Large U.S. Commercial Bank Failures," Office of Comptroller of Currency, Economic and Policy Analysis Working Paper, 2000-1.
  5. Andersson, Fredrik (1999). "Job Flows in Swedish Manufacturing 1972-1996," IFAU Working paper 1999:4
  6. Mitchell Stengel and James Gilkeson (1999). "Factors Influencing a Firm’s Adoption of New Reporting Requirements: SFAS 122 and Mortgage Servicers," OCC Economics Working Paper – WP 99-2, Office of the Comptroller of the Currency.
  7. Mitchell Stengel (1997). "High LTV Lending and the Determinants of Residential Mortgage Default."
  8. Mitchell Stengel and Dennis Glennon (1995). "Evaluating Statistical Models of Mortgage Lending Discrimination: A Bank Specific Analysis," OCC Economics Working Paper – WP 95-3, Office of the Comptroller of the Currency.
  9. Glennon, Dennis and Mitch Stengel, (1994). "An Evaluation of the Federal Reserve Bank of Boston's Study of Racial Discrimination in Mortgage Lending," Office of the Comptroller of the Currency, Economics and Policy Analysis Working Paper, 94-4..

Credit-Risk Modeling

2015

  1. Guo, Zhengfeng, Deming Wu, and Xinlei Zhao (2015) “Determinants of Auto Loan Defaults and  Implications on Stress Testing.”
  2. Wu, Deming and Xinlei Zhao (2015). “Aggregate Liquidity Shortage, Housing Market Conditions, and Bank Failures.

2014

  1. Li, Phillip (2014), “Estimation of multivariate sample selection models via a parameter-expanded Monte Carlo EM algorithm”
  2. Li, Phillip, Min Qi, Xiaofei Zhang, and Xinlei Zhao (2014), “Further Investigation of Parametric Loss Given Default Modeling,” OCC Economics Working Papers WP2014-2
  3. Qi, Min, Deming Wu, and Hong Yan (2014). "Credit Default Swaps and Loss Given Default: Has the CDS Market Affected the Recovery Rates of U.S. Corporate Defaults?" Working Paper, Office of the Comptroller of the Currency.

2013

  1. Barakova, Irina and A. Palvia (2013). "Are Basel II Risk Weights Aligned with Risk?"Working paper, Presented ASSA 2013.
  2. Barakova, Irina and Harini Parthasarathy (2013). "Modeling Corporate EAD at Default 2013" SSRN Working Paper 2235218.
  3. Barakova, Irina, P. Calem and S. Wachter (2013). "Borrowing Constraints during the Housing Bubble," Submitted to Journal of Housing Economics, Presented at AEA/AREUEA 2013, AREUEA International 2013.

2012

  1. Barakova, Irina and H. Parthasarathy (2012). "How Committed are Bank Corporate Line Commitments?" Working paper, Presented at 2012 FDIC Banking conference and ASSA/IBEFA 2013.
  2. Barakova, Irina and H. Parthasarathy (2012). "Modeling Corporate EAD," Working, Presented Quant Forum 2012, WEFAI/IBEFA2013.
  3. Barakova, Irina, Dennis Glennon, and Ajay Palvia, (2012). "Sample Selection Bias in Acquisition Credit Scoring Models: An Evaluation of the Supplemental-Data Approach."
  4. Wu, Deming, and Suning Zhang (2012). "Debt Market Liquidity and Corporate Default Prediction." SSRN Working Paper Series.

2011 - 1997

  1. Kiefer, Hua and Leonard Kiefer (September 2011). "A Reality Check for Credit Default Models."
  2. Qi, Min and Xinlei Zhao (2011), "Debt Structure, Market Value of Firm, and Recovery Rate," OCC Economics Working Papers WP2011-2 (October).
  3. Kiefer, Hua and Leonard Kiefer (June 2010)."The Co-Movement of Mortgage Foreclosure Rate and House Price Depreciation: A Spatial Simultaneous Equation System."
  4. Qi, Min (2009), "Exposure at Default of Unsecured Credit Cards," OCC Economics Working Papers WP2009-2 (July).
  5. Qi, Min and Xiaolong Yang (2007), "Loss Given Default of High Loan-to-Value Residential Mortgages," OCC Economics Working Papers WP2007-4 (August).
  6. Glennon, Dennis and Amos Golan, (2003). "A Markov Model of Bank Failure Estimated Using an Information-Theoretic Approach," Office of Comptroller of Currency, Economic and Policy Analysis Working Paper, 2003-1.
  7. Mitchell Stengel (1997). "High LTV Lending and the Determinants of Residential Mortgage Default."

Financial Economics / Econometrics

2015

  1. Butaru, Florentin, QingQing Chen, Brian Clark, Sanmay Das, Andrew Lo and Akhtar Siddique (2015). “Risk and Risk Management in the Credit Card Industry”, NBER Working Paper 21305 and SSRN Working Paper.
  2. Chang, Andrew and Phillip Li (2015). “Measurement Error in Macroeconomic Data and Economics Research: Data Revisions, Gross Domestic Product, and Gross Domestic Income.”
  3. Glennon, Dennis, Hua Kiefer, and Tom Mayock (2015). “Housing Value Estimation: An Application of Forecast Combination to Residential Property Valuation.”
  4. Guo, Zhengfeng, Deming Wu, and Xinlei Zhao (2015). “Determinants of Auto Loan Defaults and Implications on Stress Testing.” Working Paper, Office of the Comptroller of the Currency.
  5. Hasan, Iftekhar and Deming Wu (2015). “Credit Default Swaps and Bank Loan Sales: Evidence from Bank Syndicated Lending.” Working Paper, Office of the Comptroller of the Currency.
  6. Hasan, Iftekhar and Deming Wu (2015). “How Do Large Banks Use Credit Default Swaps to Manage Risks? The Bank-Firm Level Evidence.” Working Paper, Office of the Comptroller of the Currency.
  7. Kiefer, Hua and Leonard Kiefer (2015). “Underwater Homeowners Resurface: Past and Future.”
  8. Li, Phillip (2015). “Efficient MCMC Estimation of Inflated Beta Regression Models”, Under Review.
  9. Li, Xianghong and Xinlei Zhao (2015).  “Strategic Defaults Induced by Loan Modifications.”
  10. Liu, Zilong, Xiaoling Pu , and Xinlei Zhao (2015). “Ownership Concentration Among Entrepreneurial Firms: The Growth Control Trade-Off.”
  11. Liu, Zilong and Xinlei Zhao (2015). “Borrowing From Suppliers Versus Borrowing From Banks.”
  12. Wu, Deming (2015). “Do Market Makers Lean Against the Wind? Evidence from the Credit Default Swaps Market.” Working Paper, Office of the Comptroller of the Currency.

2014

  1. Barakova, Irina, Hasan, M. Nazmul and Parthasarathy, Harini (2014). "Role of Collateral and Covenants in Bank Monitoring and Loss Mitigation"
  2. Chen, QingQing and Yongmiao Hong (2014). "Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach."
  3. Guo, Zhengfeng and Shage Zhang (2014), “The Effects of Securitization on Corporate Loans”
  4. Hasan, Mohammad Nazmul, Nikunj Kapadia, and Akhtar Siddique (2014). "The conservative issuer bias of corporate ratings." SSRN working paper.
  5. Liu, Zilong, Xiaoling Pu, and Xinlei Zhao (2014), “Evolution of Ownership Structure and Performance of Entrepreneurial Firms”
  6. Liu, Zilong and Xinlei Zhao (2014), “The Choice Between Supplier Financing and Bank Financing”
  7. Sirakaya, S. (2014). "Incentive-Constrained Lending". Working Paper, Office of the Comptroller of the Currency.
  8. Shao, Pei, and Deming Wu (2014). "Syndicated Credit Cut and Firm Performance." Working Paper, Office of the Comptroller of the Currency.
  9. Tiernan, Natalie (2014). “Competition and Lending Standards in Mortgage Markets.”
  10. Tiernan, Natalie (2014). “Lender Expectations and Mortgage Lending Standards:  A Panel Data Study.”
  11. Wu, Deming, and Xinlei Zhao (2014). "Systemic Risk and Bank Failures." Working Paper, Office of the Comptroller of the Currency.

2013

  1. Andersson, Fredrik and Tom Mayock (2013). "How Does Home Equity Affect Mobility?"
  2. Balta, Emre and Matthias Degen (2013). "The Limit of Diversification: A Lower Bound on Firmwide Operational Risk Capital," Working Paper, Office of the Comptroller of the Currency.
  3. Chen, QingQing, Dennis Glennon and Amos Golan (2013). "Estimating Conditional Mortgage Delinquency Transition Matrices."
  4. Hasan, M. Nazmul, Nikunj Kapadia and Akhtarur Siddique (September 27, 2013). "The Conservative Issuer Bias of Corporate Ratings."
  5. Hong, Han, and Deming Wu (2013). "Systemic Funding Liquidity Risk and Bank Failures." Working Paper, Office of the Comptroller of the Currency.
  6. Hong, Han, Jingzhi Huang, and Deming Wu (2013). "The Information Content of Basel III Liquidity Risk Measures." Working Paper, Office of the Comptroller of the Currency.
  7. Ihlanfeldt, Keith and Tom Mayock (2013). "Foreclosures, Crime and Housing Values: Towards a Better Understanding of the Contagion Effect."
  8. Kiefer, Hua, Leonard Kiefer and Tom Mayock (July 2013). "Should we Fear the Shadow? House Prices, Shadow Inventory, and the Nascent Housing Recovery."
  9. Wu, Deming (2013). "Currency Carry Trade and Bank’s Foreign Exchange Risk Management." Working Paper, Office of the Comptroller of the Currency.

2012

  1. Chen, QingQing (2012). "An Intraday Analysis of Related Investing Vehicles Traded in the NYSE and AMEX."

2011

  1. Chen, QingQing (2011). "Does Liquidity or Private Information Matter for International Comovement?"

2010

  1. Chen, QingQing (2010). "Endogenous Information Acquisitions, Cost of Information, and Comovement of Stock Returns."

2007 - 2006

  1. Parthasarathy, Harini (2007). "Information Asymmetry and One-Stop Shopping for Lending and Equity Underwriting Services" Harvard University Dissertation Chapter.
  2. Mitchell Stengel, Mahmoud El-Gamal, and Hulusi Inanoglu (2006). "Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory," OCC Economics Working Paper – WP 2006-3, Office of the Comptroller of the Currency.

General Economic Research

2015

  1. Chang, Andrew and Phillip Li (2015). “Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say ‘Usually Not,’” Under Review.
  2. Chang, Andrew, Phillip Li, and Shawn M. Martin (2015). “Comparing Cross-Country Estimates of Lorenz Curves Using a Dirichlet Distribution Across Estimators and Datasets.”
  3. Glennon, Dennis, Hua Kiefer, and Tom Mayock (2015) “Housing Value Estimation: An Application of Forecast Combination to Residential Property Valuation.”
  4. Mayock, Tom and Rachel Spritzer (2015) “Socioeconomic and Racial Disparities in the Financial Returns to Homeownership.”

2014

  1. Andersson Fredrik, John Haltiwanger, Mark Kutzbach, Henry Pollakowski, and Daniel Weinberg (2014). "Job Displacement and the Duration of Joblessness: The Role of Spatial Mismatch," NBER Working Paper # 20066 (under review).
  2. Gete, Pedro and Natalie Tiernan (2014). “Lending Standards and Countercyclical Capital Requirements under Imperfect Information.”
  3. Gete, Pedro and Natalie Tiernan (2014). “Overlending and Macroprudential Tools.”

2013

  1. Andersson, Fredrik, Harry Holzer, Julia Lane, David Rosenblum and Jeffrey Smith (2013). "Does Federally-Funded Job Training Work? Non-experimental Estimates of WIA Impacts Using Longitudinal Data on Workers and Firms," IZA Working Paper and NBER Working Paper no 19446 (under review).
  2. Andersson Fredrik, John Haltiwanger, Mark Kutzbach, Giordano Palloni, Henry Pollakowski, and Daniel Weinberg (2013). "Childhood Housing and Adult Earnings: A Between-Siblings Analysis of Housing Vouchers and Public Housing," CES Working Paper 13-48.
  3. Attie, Alex, Guo, Zheng-Feng, and Charles Xie (2013), "Macroeconomic Changes as Drivers of Asset and Portfolio Performance."
  4. Brownstone, David and Phillip Li (2013). "A model for broad choice data," Working Paper, Office of the Comptroller of the Currency.
  5. Dahiya, Sandeep, Leora Klapper, Harini Parthasarathy and Dorothe Singer (2013). "The Role of Private Equity Investments in Public Firms: International Evidence" World Bank Policy Research Working Paper 6484.
  6. Li, Phillip (2013). "A note on speeding up the BLP contraction mapping," Working Paper, Office of the Comptroller of the Currency.
  7. Park, Y., S. Sirakaya and T. Y. Kim (2013). "A Dynamic Hierarchical Bayesian Model for the Probability of Default." Working Paper, Office of the Comptroller of the Currency.
  8. Sirakaya, S. (2013). ‘Numerical Approximation of Free Horizon Optimal Control Problems." Working Paper, Office of the Comptroller of the Currency.
  9. Wu, Deming (2013). "Currency Carry Trade and Bank’s Foreign Exchange Risk Management." Working Paper, Office of the Comptroller of the Currency.

2011 - 2009

  1. Chen, QingQing, Chor-Ching Goh, Bo Sun and Lixin Colin Xu (April 2011). "Market Integration in China," World Bank Policy Research Working Paper 5630.
  2. Chaney, Paul, Jeter, Debra, and Zheng-Feng Guo (2010), "Selection Models and Endogeneity Issues in Accounting Research."
  3. Kiefer, Hua and Leonard Kiefer (September 2009). "Federal Reserve Policy and US State Income Dynamic.

2007

  1. Barakova, Irina (2007). "The Impact of Local Unemployment on Community Banks at Different Quantiles," Working paper.
  2. Garasky, Steve, Donald R. Haurin and Hua Kiefer (June 2007). "Locational Choice Upon First Exit from the Parental Household: Understanding the Influences of Race, Ethnicity and Assimilation."
  3. Parthasarathy, Harini (2007). "Underwriter retention after mergers between investment banks and commercial banks" Harvard University Dissertation Chapter.
  4. Parthasarathy, Harini (2007). "Universal Banking Deregulation and Firms Choices of Lender and Equity Underwriter" SSRN Working Paper 1051262.

2001 - 1991

  1. Andersson, Fredrik, and Altin Vejsiu (2001)."Determinants of Plant Closures in Swedish Manufacturing," IFAU Working Paper 2001:6.
  2. Barakova, Irina and M. Carey (2001). "How Quickly Do Troubled U.S. Banks Recapitalize?" Federal Reserve working paper.
  3. Kolari, James, Dennis Glennon, Hwan Shin, and Michele Caputo, (2000). "Predicting Large U.S. Commercial Bank Failures," Office of Comptroller of Currency, Economic and Policy Analysis Working Paper, 2000-1.
  4. Andersson, Fredrik (1999). "Job Flows in Swedish Manufacturing 1972-1996," IFAU Working paper 1999:4
  5. Mitchell Stengel and James Gilkeson (1999). "Factors Influencing a Firm’s Adoption of New Reporting Requirements: SFAS 122 and Mortgage Servicers," OCC Economics Working Paper – WP 99-2, Office of the Comptroller of the Currency.
  6. Mitchell Stengel and Dennis Glennon (1995). "Evaluating Statistical Models of Mortgage Lending Discrimination: A Bank Specific Analysis," OCC Economics Working Paper – WP 95-3, Office of the Comptroller of the Currency.
  7. Glennon, Dennis and Mitch Stengel, (1994). "An Evaluation of the Federal Reserve Bank of Boston's Study of Racial Discrimination in Mortgage Lending," Office of the Comptroller of the Currency, Economics and Policy Analysis Working Paper, 94-4.
  8. Mahmood, Raisul Awal, M. Nazmul Hasan and Sultan Hafeez Rahman (March 1991). "Slow Response of Trade and Industry to Import Policy Changes," Research Report No. 125, Bangladesh Institute of Development Studies.

 

Compliance Risk Analysis Division Working Papers

A collection of in-depth working papers covering a wide range of topics.

Expand All | Collapse All

All Working Papers

2015

  1. Chen, Guodong and Tong-yob Nam (2015). "Retirement and Portfolio Choice."
  2. Jackson, K. (2015), "Regulation and California's boom and bust."
  3. Nam, Tong-yob (2015). "Geographic Heterogeneity in Housing Market Risks and Portfolio Choice."
  4. Nam, Tong-yob and Seungjoon Oh (2015). "Recourse Mortgage Law and Housing Speculation."
  5. Porter, Andrew. (2015). "Libraries Fighting Crime: Spillover Effects of Public Institutions," Working Paper, Office of the Comptroller of the Currency.
  6. Porter, Andrew. (2015). "The Impact of Internet Availability on Crime: Evidence from Google Fiber in Kansas City," Working Paper, Office of the Comptroller of the Currency.
  7. Porter, Andrew. (2015). "Earned Prizes: Group versus Individual Prize Valuations and Effort," Working Paper, Office of the Comptroller of the Currency.
  8. Susin, Scott and Ioan Voicu (2015). “Improved Statistical Methods for the Calculation of Damages in Discrimination Lawsuits.” (under review at Journal of Legal Studies).
  9. Tzioumis, Konstantinos (2015). "Mortgage (mis)pricing: Evidence from Co-borrowers." revise & resubmit at Journal of Urban Economics.
  10. Voicu, Ioan (2015), “Using First Name Information to Improve Race and Ethnicity Classification,” Working Paper, Office of the Comptroller of the Currency.

2014

  1. Lewyn, M. and Jackson, K. (2014), "How Often Do Cities Mandate Smart Growth or Green Building?" Mercatus Working Paper, Mercatus Center at George Mason University
  2. Voicu, Ioan, Vicki Been, Mary Weselcouch, and Andrew J. Tschirhart. (2014) Performance of HAMP Versus Non-HAMP Loan Modifications - Evidence from New York City. Working paper.

2013

  1. Tzioumis, Konstantinos (2013). "Risk Preferences Across Public and Private Sector Employees."

2012

  1. Voicu, Ioan, Vicki Been, Mary Weselcouch, and Andrew Tschirart (2012), “Loan Modifications: What Works,” Working Paper, Office of the Comptroller of the Currency.

 

Enterprise Risk Analysis Division Working Papers

A collection of in-depth working papers covering a wide range of topics.

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All Working Papers

2017

  1. Agarwal, Sumit, Souphala Chomsisengphet, Yildray Yildrim, and Jian Zhang (2017). “Cash Demand, and Consumption to Unanticipated Monetary Policy Shock: Evidence from Turkey.”
  2. Agarwal, Sumit, Souphala Chomsisengphet, and Cheryl Lim (2017). “What Shapes Consumer Choice and Financial Products?: A review.”
  3. Chen, Qingqing, Florentin Butaru, Brian Clark, Sanmay Das, Andrew Lo, and Akhtar Siddique (2017), “Risk and Risk Management in the Credit Card Industry,” Journal of Banking & Finance. Forthcoming.
  4. Jones, Jonathan, et al (2017).  "Takeover Defense Provisions, Firm Volatility, and the Cost of Corporate Loan Finance."  Critical Finance Review (forthcoming).
  5. Pierre, Norbert (2017).  "Loss Averse Asset Pricing and Portfolio Choice."
  6. Schenck, Natalya et al. (2017)  "Understanding Price Discovery in Interconnected Markets: Generalized Langevin Process Approach and Simulation."
  7. Sengupta, Partha et al (2017).  "Restructuring Charges, FAS146 and the Accrual Anomaly."  Management Science (forthcoming).
  8. Sengupta, Partha et al (2017).  "Takeover Defenses:  Entrenchment and Efficiency."  Journal of Accounting and Economics (forthcoming).
  9. Zhang, Jenny (2017).  "Assessing Fair Lending Risks using Race/Ethnicity Proxies."  Management Science (forthcoming).

2016

  1. Agarwal, Sumit, Souphala Chomsisengphet, and Qi Wang (2016). “Strategic Information Disclosure and Bank Lending.”
  2. Chomsisengphet, Souphala and Chenfei Liu (2016). “Lender Distress and Mortgage Renegotiation”.
  3. Agarwal, Sumit, Souphala Chomsisengphet, Stephan Meier, Xin Zou (2016) “In the Mood to Consume: Effect of Sunshine on Credit Card Spending.”
  4. Agarwal, Sumit, Souphala Chomsisengphet, Teck Ho, and Wenlan Qian (2016). “Cross-Border Shopping: Do Consumers Respond to Taxes or Prices?”.
  5. Clark, Brian and Ali Ebrahim (2016).  “Risk Shifting and Regulatory Arbitrage:  Evidence from Operational Risk.”
  6. Salahura, Gheorge et al. 2016).  "Multimodal imaging of ocular surface of dry eye subjects."
  7. Schenck, Natalya and Lan Shi (2016).  "The Impact of Leverage Lending Regulation on Loan Syndicate Structure:  A Shift to Shadow Banking?"
  8. Shi, Lan and Jenny Zhang (2016).  "The Effect of Mortage Broker Licensing under the Originate-to-Distribute Model: Evidence from U.S. Mortgage Market.”
  9. Siddique, Akhtar et al. (2016).  "Dissecting the Financial Crisis of 2007-2009:  The Role of Credit Valuation Adjustments."

2015

  1. Agarwal, Sumit, Gene Amromin, Souphala Chomsisengphet, Tomasz Piskorski, Amit Seru, and Vincent Yao (2015). “Mortgage Refinancing, Consumer Spending, and Competition: Evidence from Home Affordable Refinancing Program,” NBER Working Paper w21512.
  2. Agarwal, Sumit, Souphala Chomsisengphet, Neale Mahoney, and Johannes Stroebel (2015). “Do Banks Pass Through Credit Expansions? The Marginal Profitability of Consumer Lending During the Great Recession,” NBER Working Paper w21567.
  3. Clark, Brian et.al. (2015).  "Bank Leverage and the Cost of Capital:  Testing the Relevance of the Modigliani-Miller Theorem for U.S. Banks"
  4. Jones, Jonathan et al. (2015).  "Leverage and the Weighted-Average Cost of Capital for U.S. Banks."  
  5. Jones, Jonathan, et al. (2015).  "Scenario-Based Predictions vs. Conditional Forecasts of Banks’ Stressed Pre-Provision Net Revenues."
  6. Li, Feng and Yanan Zhang (2015).  "An Analysis of the Mortgage Default Stress Testing Model."
  7. Salahura, Gheorghe, et al. (2015).  "Thermal Analysis of Dry Eye Subjects and the Thermal Impulse Perturbation of Ocular Surface."  Experimental Eye Research, March 2015.
  8. Schenck, Natalya et al. (2015).  “The Impact of Real Estate Lending on Thrifts’ Franchise Values during the 2007-2009 Crisis: A Comparison with Commercial Banks.”
  9. Siddique, Akhtar et al. (2015).  "Scenario-Based Predictions vs. Conditional Forecasts of Banks’ Stressed Pre-Provision Net Revenues"
  10. Siddique, Akhtar et al. (2015)  "Fall of the Greenspan Put and Rise of the Jumpy Trader:  Aftermath of the Great Recession."
  11. Zhang, Jenny and Peter Trubey (2015).  "Statistical Models and Sampling Schemes: An empirical Study of Money Laundering Detection."
  12. Zhang, Jenny et al. (2015).  “Second Liens and the Holdup Problem in First Mortgage Renegotiation”

2014

  1. Agarwal, Sumit Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Yan Zhang (2014) "Second Liens and the Holdup Problem in First Mortgage Renegotiation," NBER Working Paper w20015.
  2. Salahura, Gheorghe et al.  "Thermal Analysis of Dry Eye Subjects and the Thermal Impulse Perturbation of Ocular Surface."
  3. Schenck, Natalya et al.  "Long-Term Impact of  Bank Mergers on Stock Performance and Default Risk:  The Aftermath of the 2008 Financial Crisis"
  4. Shi, Lan et al. (2014).  "Sponsor-Underwriter Affiliation and the Performance of Non-Agency Mortgage-Backed Securities."  
  5. Siddique, Akhtar et al. (2014).  "GMM-Based Tests of Efficient Market Learning and an Application to Testing for a Small Firm Effect in Equity Pricing."
  6. Siddique, Akhtar et al. (2014).  "Supply Uncertainty and Multi-Sourcing Options Portfolio"
  7. Zhang, Yanan et al. (2014).  "Does Servicer Heterogeneity Matter for Loss Given Default on Home Equity Loans?"
  8. Zhang, Yanan et al. (2014). "Default Probability and Loss Given Default for Home Equity Loans."

2012

  1. Agarwal, Sumit Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, Tomasz Piskorski, and Amit Seru (2012). "Policy Intervention in Debt Renegotiation: Evidence from Home Affordability Modification Program," NBER Working Paper w18311.

2010

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2010). "Financial Counseling, Financial Literacy, and Household Decision Making," Pension Research Council WP 2010-34.
  2. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2010). "Market-Based Loss Mitigation Practices of Troubled Mortgages Following the Financial Crisis," Fisher College of Business Working Paper No. 2010-019, Ohio State.
  3. Agarwal, Sumit, Souphala Chomsisengphet, Chunlin Liu, and Nicholas Souleles (2010). "The Benefits of Relationship Lending: Empirical Evidence from Consumer Credit Market," Federal Reserve Bank of Chicago Working Paper 2010-5.
  4. Agarwal, Sumit, Souphala Chomsisengphet, Robert McMenamin, and Paige M. Skiba (2010). "Race, Gender and Political Ideology in Personal Bankruptcy Outcomes," Vanderbilt Law and Economics Research Paper No. 10-08.

2009

  1. Agarwal, with Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2009). "Do Financial Counseling Mandates Improve Mortgage Choice and Performance? Evidence from a Legislative Experiment," Federal Reserve Bank of Chicago Working Paper 2009-07.