We introduce a financial stress index that was developed by the Office of Financial Research
(OFR FSI) and detail its purpose, construction, interpretation, and use in financial market …

Hedge fund gross US Treasury (UST) exposures doubled from 2018 to February 2020 to $2.4
trillion, primarily driven by relative value arbitrage trading and supported by corresponding …

Using novel credit data, we show that hedge fund borrowing is significantly overcollateralized,
primarily with rehypothecable securities. An idiosyncratic liquidity shock to a major prime …

Evaporating liquidity is a central feature of many financial crises. Questions remain about
the importance of illiquidity and the distribution of illiquidity exposure across financial market …

Hedge funds play an increasingly important role in US Treasury (UST) cash and futures
markets, a role that has been widely discussed following the March 2020 US Treasury sell-off. In …

Form PF is the implementation of Congress's post-crisis mandate for risk reporting by hedge
funds to help protect investors and monitor systemic risk. The authors extend the …

Theoretical models in single-agent investment are traditionally based on the classical
criterion of maximal expected utility of wealth. Despite its long history and sound economic …

The use of leverage is often considered a key potential systemic risk in hedge funds. Yet,
data limitations have made empirical analyses of hedge fund leverage difficult. Traditional …

Using a stochastic representation of the optimal wealth process in the classical Merton
problem, we calculate its cumulative distribution and density functions and provide bounds and …

This paper examines the precision of the US Securities and Exchange Commission’s Form
PF as an instrument for measuring market risk exposures in the hedge fund industry. We …