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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.

Mikhail 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

 

 March, 2012 ; 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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