This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

This Background Report has been produced as part of the study on “Development of statistical data on the European security technological and industrial base” commissioned by the European Commission within the Framework Contract on Security (ENTR/09/050) between the European Commission and a...