|
|
Posted on November 26th, 2012
Employing a large number of financial indicators, the authors of this paper use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios—constructed directly from the secondary market prices of outstanding bonds— sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA [...]
Posted on November 15th, 2012
This discussion paper presents some preliminary views of the European Banking Authority (EBA) on the application of prudent valuation requirements to all positions that are measured at fair value, as provided for under Articles 31 and 100 of the draft Capital Requirements Regulation (CRR). It also sets the EBA’s preliminary view on how [...]
Posted on October 17th, 2012
The International Organization of Securities Commission (IOSCO) has published a final report on Policy Recommendations for Money Market Funds, which proposes recommendations to be the basis for common standards for the regulation and management of money market funds across jurisdictions. These are articulated around key principles for valuation, liquidity management, use of ratings, [...]
Posted on October 17th, 2012
An adequate organisation of the proposed European banking union will help to reduce the unrest in the currency union. Dutch banks must continue improving their capital position in the coming years, which will restrict their scope for dividend payments. Moreover, in the current market conditions, it is important that banks ensure up-to-date and [...]
Posted on October 8th, 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. The authors of this paper investigate whether these forecasting improvements translate into economic value added. To do so they develop a new class of affine discrete-time option [...]
18 pages
|
|
