The Monetary Control Act of 1980 requires the Federal Reserve System to provide payment services to depository institutions through the twelve Federal Reserve Banks at prices that fully reflect the costs a private-sector provider would incur, including a cost of equity capital (COE). Although...

Beginning in 1998, U.S. commercial banks with significant trading activities must hold capital against their defined market risk exposure. Under the current regulatory guidelines, this capital charge is a function of banks' own value-at-risk (VaR) estimates. Two hypothesis-testing methods for...

This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the...

The credit risk capital requirements within the current Basel II Accord are based on the asymptotic single risk factor (ASRF) approach. The asset correlation parameter, defined as an obligor's sensitivity to the ASRF, is a key driver within this approach, and its average values for different...

The aim of this paper is to analyse the projects within the Community Initiative Interreg II Spain-Morocco (1994-1999) designed to develop cross-border cooperation. This work does not attempt a full evaluation of the programme.It is a preliminary study necessary to develop a final evaluation...

This paper deals with market power and information issues in the ongoing process of the European Electricity Market. We present a regulatory game played among the key group of utilities, the customers and the regulatory authority. The development of the game allows us to state for a clear...

This paper discusses the role of household heterogeneity in a model in which idiosyncratic consumption and labor income risks manifest as a distortion to the intra-temporal optimal condition of the representative agent. Aggregation over the undistorted labor-leisure condition of each household...