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The market liquidity of interest rate swaps
Boudiaf, Ismael Alexander (contributor);  … - European Central Bank - 2024
long-horizon swap contract denominated in EUR to construct seven liquidity measures. Taking a comprehensive approach, we ap … monetary policy, market-wide fixed income liquidity, EURIBOR rate volatility and Dealer behaviour. Indicators for generic …
Persistent link: https://www.econbiz.de/10015320846
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Credit default swaps and counterparty risk
European Central Bank - 2009
Persistent link: https://www.econbiz.de/10015312004
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Fund-level FX hedging Redux
Bräuer, Leonie (contributor); Hau, Harald (contributor) - European Central Bank - 2024
-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprical …-2023, we explore how the FX derivative trading by European funds compares to a feasible theoretical benchmark of optimal … hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and …
Persistent link: https://www.econbiz.de/10015320855
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The payment system : payments, securities and derivatives, and the role of the Eurosystem
Kokkola, Tom (contributor) - European Central Bank - 2010
Persistent link: https://www.econbiz.de/10015310541
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European Commission's public consultation on derivatives and market infrastructures : Eurosystem contribution
European Central Bank - 2010
Persistent link: https://www.econbiz.de/10015310775
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The payment system : payments, securities and derivatives, and the role of the Eurosystem
Kokkola, Tom (contributor) - European Central Bank - 2010
Persistent link: https://www.econbiz.de/10015311474
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OTC derivatives and post-trading infrastructures
European Central Bank - 2009
Persistent link: https://www.econbiz.de/10015312001
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Does a leverage ratio requirement increase bank stability? : N°1676, May 2014
Kiema, Ilkka (contributor); Jokivuolle, Esa (contributor) - European Central Bank - 2014
Basel III has introduced a non-risk-weighted leverage ratio requirement (LRR) which complements the internal ratings based (IRB) capital requirements. It provides a backstop against model risk which arises if some loans get incorrectly rated and become toxic. We study the effects of the LRR on...
Persistent link: https://www.econbiz.de/10015301902
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Changes in bank financing patterns : April 2012
European Central Bank - 2012
The recent financial crisis has led to changes in banks' funding patterns at the global level which have been widely discussed in policy and academic fora. This report aims at identifying and documenting the main changes in the funding patterns of euro area banks. Using statistics for monetary...
Persistent link: https://www.econbiz.de/10015307491