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Journal Article

The Canadian Dollar as a Reserve Currency

A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.

White Paper

Non-Cap Weighted Indexes

...Presentation by Cliff Asness on fundamental indexing presented at the Institute for Quantitative Finance Spring 2007 Seminar.

Book

20 for Twenty: Selected Papers from AQR Capital Management

20 for Twenty commemorates AQR’s anniversary with a collection of 20 papers that have formed the backbone of our investment philosophy.

Working Paper

Risk Adjusted Performance of Middlemen in Housing Markets

Do housing market asset flippers outperform? We study the risk-adjusted returns of asset flippers operating in the housing market of Los Angeles County with respect to both investments in the U.S. stock market and in a passive mutual fund tracking a representative U.S. REIT index.

White Paper

Property Catastrophes and Equity Markets

Does investing in property catastrophe reinsurance as an asset class help diversify a portfolio from financial market risks? We examined data on the largest global property catastrophes to gain insight.

Book

Taxing Systemic Risk

How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.

Interview

Words From the Wise DB Plans Glossary

This appendix provides some terminology and key concepts as background for AQR's discussion with Martin Leibowitz of Morgan Stanley.

Working Paper

Measuring Systemic Risk

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced—its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence.

Working Paper

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

There isn't much consensus on the structural forces driving the mid-2000s borrowing boom and the consumption slump that followed in the Great Recession. We created a model of household mortgage debt and liquidity management to answer these questions.