As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. To mitigate the funds' exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

The purpose of this evaluation specifically relates to the SIGMA Programme implemented in eleven beneficiary countries of the European Neighbourhood Region (ENP) from its inception in the ENP Region in 2008 until mid-2013. This evaluation assesses the SIGMA Programme in the ENP Region in terms...

The purpose of this final evaluation has been to assess the capacity of the Technical Assistance and Information Exchange instrument of the European Commission (TAIEX). The assessment has specifically covered TAIEX‟s capacity in making available the expertise of Member States' public officials...