This paper presents and analyses the results of a survey of some 400 credit institutions in the European Union carried out by the European Investment Bank in the summer of 2003. An indepth analysis of the survey responses of 74 participating banks leads to the following conclusions: (1) despite...

We introduce Longitudinal Factor Analysis (LFA) to extract the Common Risk Free (CRF)rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits the typically very large longitudinal dimension of bond data, it performs better than traditional factor analysis...

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...