This paper derives a general framework for collateral risk control determination in repurchase transactions. The objective is to treat consistently heterogeneous collateral so that the collateral taker has a similar risk exposure whatever the collateral pledged. The framework measures the level...

The aims of this paper are twofold: first, we attempt to express the threshold of a single quot;Aquot; rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard amp; Poor's and Moody's publicly available rating histories to...

We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...