Mikhail V. Oet |

Economist


Mikhail V. Oet, Economist

Mikhail Oet is an economist in the Supervision and Regulation Department of the Federal Reserve Bank of Cleveland. His research interests include systemic risk, banking and financial markets, and financial economics.

Oet is a doctoral candidate and nonprofit research fellow at the Case Western Reserve University. He earned his MBA in finance from the New York University Stern School of Business. He also holds a bachelor’s degree from Yale University and a master’s degree in architecture from Harvard University.

  • Fed Publications
  • Other Publications
Title Date Publication Author(s) Type

 

May, 2013 Federal Reserve Bank of Cleveland, working paper no. 13-09 ; Dieter Gramlich; Stephen J Ong; Working Papers
Abstract: How can a systemic risk early warning system (EWS) facilitate the financial stability work of policymakers? In the context of evolving financial market dynamics and limitations of microprudential policy, this study examines new directions for financial macroprudential policy. A flexible macroprudential approach is anchored in strategic capacities of systemic risk EWSs. Tactically, macroprudential applications are founded on information about the level, structure, and institutional drivers of systemic financial stress and aim to manage the financial system risk and imbalances in two dimensions: across time and institutions. Time-related EWS policy applications are analyzed in pursuit of prevention and mitigation. EWS applications across institutions are considered via common exposures and interconnectedness. Care must be taken in the calibration of macroprudential applications, given their reliance on quality of the underlying systemic risk-modeling framework.

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December, 2012 Federal Reserve Bank of Cleveland, working paper no. 12-37 ; Timothy Bianco; Dieter Gramlich; Stephen J Ong; Working Papers
Abstract: This paper develops a new financial stress measure (Cleveland Financial Stress Index, CFSI) that considers the supervisory objective of identifying risks to the stability of the financial system. The index provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The construction methodology uses daily public market data collected from different sectors of financial markets. A unique feature of the index is that it employs a dynamic weighting method that captures the changing relative importance of the different sectors of the financial system. This study shows how the index can be applied to monitoring and analyzing financial system conditions.

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2012-04 ; Timothy Bianco; Stephen J Ong; Economic Commentary
Abstract: To promote stability in a dynamic financial system, supervisors must monitor the system for risks at all times. The Cleveland Fed has developed an index of financial stress, the CFSI, which is designed to track distress in the financial system as it is building. The CFSI will help financial system supervisors monitor and understand the state of financial markets on a real-time basis, and take appropriate regulatory or supervisory action as necessary.

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November, 2011 Federal Reserve Bank of Cleveland, working paper no. 11-30 ; Timothy Bianco; Ryan Eiben; Dieter Gramlich; Stephen J Ong; Working Papers
Abstract: This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four sectors of the financial markets—the credit, foreign exchange, equity, and interbank markets. A dynamic weighting method is employed to capture changes in the relative importance of these four sectors as they occur. In addition, the design of the index allows the origin of the stress to be identified. We compare the CFSI to alternative indexes, using a detailed benchmarking methodology, and show how the CFSI can be applied to systemic stress monitoring and early warning system design. To that end, we investigate alternative stress-signaling thresholds and frequency regimes and then establish optimal frequencies for filtering out market noise and idiosyncratic episodes. Finally, we quantify a powerful CFSI-based rating system that assigns a probability of systemic stress to ranges of CFSI outcomes.

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November, 2011 Federal Reserve Bank of Cleveland, working paper no. 11-29 ; Timothy Bianco; Ryan Eiben; Dieter Gramlich; Stephen J Ong; Jing Wang; Working Papers
Abstract: This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the financial system and a feedback amplification mechanism. The models explain financial stress using both public and proprietary supervisory data from systemically important institutions, regressing institutional imbalances using an optimal lag method. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from the largest bank holding companies to anticipate the buildup of macroeconomic stresses in the financial markets. To mitigate inherent uncertainty, SAFE develops a set of medium-term forecasting specifications that gives policymakers enough time to take ex-ante policy action and a set of short-term forecasting specifications for verification and adjustment of supervisory actions. This paper highlights the application of these models to stress testing, scenario analysis, and policy.

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Title Date Publication Author(s) Type
Comment on "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks"

 

August, 2011 Quantifying Systemic Risk, National Bureau of Economic Research ; Article in Book

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The structural fragility of financial systems: Analysis and modeling implications for early warning systems

 

July, 2011 Journal of Risk Finance, vol. 12, no. 4, pp. 270?290. ; Dieter Gramlich; Journal Article

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Early warning systems for systemic banking risk: Critical review and modeling implications

 

July, 2010 Banks and Bank Systems, vol. 5, no. 2, pp. 199?211. ; Dieter Gramlich; Gavin L Miller; Stephen J Ong; Journal Article

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