This document presents a set of indicators designed to measure the credit risk implicit in the deposits maintained by domestic financial institutions in foreign countries. It discusses the theoretical definition of the indicators, the software implementation and a case of study based on the...

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...