In this article we will discuss what the work of the EC and EIOPA means and how we should move towards a more objective valuation of pension liabilities in the EU. There are many different kinds of pension liabilities in the European Member States, and there are at least just as many different...

In this study we highlight the importance of liquidity risk, especially in periods of market stress, and advocate in favour of an explicit consideration of a liquidity premium when using mark-to-model methodologies to value financial assets.For European corporate bonds, we show that the...

The basic asset pricing equation is adapted to include the effects of unemployment, consumers' expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...

We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, and Spain) and their domestic banks during the period June 2007 - May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the...