OFR_2016_Financial-Stability-Report

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Lipson, Paul, Bradley Sabel, and Frank Keane. “Securities Lending.” Staff Reports no. 555, New York City: Federal Reserve Bank of New York, March 2012. https://www.newyorkfed.org/medialibrary/media/research/staff_reports/ sr555.pdf (accessed Sept. 26, 2016). Loudis, Bert, and Meraj Allahrakha. “Systemic Importance Data Shed Light on Global Banking Risks.” OFR Brief no. 16-03, Washington: Office of Financial Research, April 13, 2016. financialresearch.gov/briefs/files/ OFRbr_2016-03_Systemic-Importance-Data-Shed-Light-on-Global-Banking-Risks.pdf (accessed Sept. 7, 2016). Mallet, Victor, and Avantika Chilkoti. “How Cyber Criminals Targeted Almost 1BN in Bangladesh Bank Heist.” London: Financial Times, March 18, 2016. www.ft.com/cms/s/0/39ec1e84-ec45-11e5-bb79-2303682345c8.html#axzz4En4WBbpr (accessed Oct. 13, 2016). Massad, Timothy. “Taking Stock of Financial Resilience.” Remarks of Chairman Timothy Massad Before the OFR- FSOC 2016 Annual Conference. Washington, Feb. 5, 2016. http://www.cftc.gov/PressRoom/SpeechesTestimony/ opamassad-40 (accessed Sept. 7, 2016). McDonald, Robert, and Anna Paulson. “AIG in Hindsight.” Journal of Economic Perspectives 29, no. 2 (2015): 81–106. http://pubs.aeaweb.org/doi/pdfplus/10.1257/jep.29.2.81 (accessed Sept. 7, 2016). Morningstar. Online Content, Chicago: Morningstar, 2016. Munyan, Benjamin. “Regulatory Arbitrage in Repo Markets.” OFR Working Paper no. 15-22, Washington: Office of Financial Research, Oct. 29, 2015. https://financialresearch.gov/working-papers/files/OFRwp-2015-22_Repo- Arbitrage.pdf (accessed Sept. 27, 2016). Nakaso, Hiroshi. “The Financial Crisis in Japan During the 1990s: How the Bank of Japan Responded and the Lessons Learnt.” BIS Papers no. 6, Basel: Bank for International Settlements, October 2001. http://www.bis.org/ publ/bppdf/bispap06.pdf (accessed Sept. 7, 2016). National Association of Insurance Commissioners: Center for Insurance Policy and Research. The State of Long- Term Care Insurance: The Market, Challenges and Future Innovations, Kansas City, Mo.: NAIC, May 2016. http:// www.naic.org/documents/cipr_current_study_160519_ltc_insurance.pdf (accessed Oct. 21, 2016). Neuberg, Richard, Paul Glasserman, Benjamin Kay, and Sriram Rajan. “The Market Implied Probability of European Government Intervention in Distressed Banks.” OFR Working Paper no. 16-10, Washington: Office of Financial Research, Oct. 11, 2016. https://www.financialresearch.gov/working-papers/files/OFRwp-2016-10_Market- Implied-Probability-EU-Intervention-Distressed-Banks.pdf (accessed Oct. 13, 2016). Office of Financial Research. 2015 Financial Stability Report, Washington: OFR, Dec. 15, 2015. www.financialresearch.gov/financial-stability-reports/files/OFR_2015-Financial-Stability-Report_12-15-2015.pdf (accessed Sept. 6, 2016). Office of Financial Research. G-SIB Scores Interactive Chart. Online Content, Washington: OFR, April 13, 2016a. https://www.financialresearch.gov/gsib-scores-chart/ (accessed Sept. 7, 2016). Office of Financial Research. Markets Monitor. Washington: OFR, January/February 2016b. https://www.financialresearch.gov/financial-markets-monitor/files/OFR-FMM-2016-02-01_Markets_Weaken.pdf (accessed Nov. 16, 2016). 112 2016 | OFR Financial Stability Report
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OFFICE OF FINANCIAL RESEARCH 2016 F
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Contents Executive Summary ........
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Chapter 2 provides deeper analysis
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of sharp decreases in U.S. equity a
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1 Financial Stability Assessment Ov
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Figure 3. Real GDP Growth (year-ove
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Figure 8. Ten-Year U.S. Treasury Yi
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Monitoring Shadow Banking Risks The
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An earlier OFR paper proposed an ac
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Figure 17. Size, Liquidity, and Con
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Figure 19. Top Systemic Risk Scores
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The analysis pointed to seven key t
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could. In early 2016, investor conc
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earnings or share issuance. But red
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Fund Monitor, the OFR assessed expo
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2.2 Risks in U.S. Nonfinancial Corp
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Figure 31. U.S. Nonfinancial Corpor
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Figure 36. U.S. Corporate Bond Defa
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Commercial Real Estate Prices Have
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2.3 Cybersecurity Incidents Affecti
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Hackers Breach Bangladesh’s Centr
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Figure 42. Banks that Include an Op
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The industry is working with the pu
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Figure 46. U.S. Financial Regulator
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48 2016 | OFR Financial Stability R
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eleased the results of an unprecede
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Figure 49. CCP Default Waterfall ($
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Figure 50: CCP Ratios and Amounts f
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cause more-prudent CCPs to appear m
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2.5 Pressure on U.S. Life Insurance
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The experience of Japan’s life in
Page 68 and 69: 2015). These benefits are effective
Page 70 and 71: Figure 55. Life Insurance Securitie
Page 72 and 73: Drivers of Insurers’ Systemic Ris
Page 74 and 75: 2.6 Systemic Footprints of Largest
Page 76 and 77: Interest Rates and Derivatives Expo
Page 78 and 79: Figure 63. Components of U.S. G-SIB
Page 80 and 81: Figure 66. Five-Year Changes to G-S
Page 82 and 83: 2.7 Deficiencies in Data and Data M
Page 84 and 85: Figure 68. Examples of Key Post-Cri
Page 86 and 87: Broader Adoption of Data Standards
Page 88 and 89: Better Regulatory Sharing Needed Th
Page 90 and 91: The U.S. Census Bureau surveys publ
Page 92 and 93: The group will also consider how th
Page 94 and 95: and contracts would be crucial. The
Page 96 and 97: Figure 72. Scaling of Data Validati
Page 99 and 100: Glossary 10-Year, 10-Year Forward R
Page 101 and 102: Conditional Value-at-Risk (CoVaR) C
Page 103 and 104: Fire Sale Form N-MFP Form PF Fundin
Page 105 and 106: Liquidity Risk Liquidity Transforma
Page 107 and 108: Pension Funded Ratio Pension Risk T
Page 109 and 110: Stress Test Supplemental Leverage R
Page 111 and 112: Bibliography Adrian, Tobias, and Ma
Page 113 and 114: Board of Governors of the Federal R
Page 115 and 116: www.richmondfed.org/~/media/richmon
Page 117: Her Majesty’s Government and Mars
Page 121: Zetter, Kim. “That Insane, 18M Ba
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