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Interpreting implied risk-neutral densities
Hördahl, Peter; Vestin, David - 2003
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...
Persistent link: https://www.econbiz.de/10009635905
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EBA report on securitisation risk retention, due diligence and disclosure
European Banking Authority - 2014
Persistent link: https://www.econbiz.de/10010516407
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Opinion of the European Banking Authority on the securitisation risk retention, due diligence and disclosure
European Banking Authority - 2014
Persistent link: https://www.econbiz.de/10010516408
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Discussion paper : future of the IRB Approach
European Banking Authority - 2015
Persistent link: https://www.econbiz.de/10010516426
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Opinion of the European Banking Authority on Mortgage Lending Value (MLV)
European Banking Authority - 2015
Persistent link: https://www.econbiz.de/10011410172
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How does the ECB allot liquidity in its weekly main refinancing operations?
Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003
This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to … understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been … deviations of the overnight rate from the main refinancing rate. Moreover the paper finds that liquidity has affected the …
Persistent link: https://www.econbiz.de/10009635957
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Report on impact of differences in leverage ratio definitions : leverage ratio exposure measure under Basel III and the CRR
European Banking Authority - 2014
Persistent link: https://www.econbiz.de/10010368048