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Reset all filters| Date | Ref. | Title | Section | Type | Download | Info | Summary | Related Documents | Translated versions |
|---|---|---|---|---|---|---|---|---|---|
| 11/01/2013 | EBA/REC/2013/01 | EBA Recommendations on supervisory oversight of activities related to banks’ participation in the Euribor panel | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 207.84 KB |
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| 28/02/2014 | 2014/205 | Call for expressions of interest: Group of Economic Advisers for ESMA’s Committee for Economic and Markets Analysis | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 158.95 KB |
The European Securities and Markets Authority (ESMA) is seeking to appoint new members to its Group of Economic Advisors (GEA) for the Committee for Economic and Markets Analysis (CEMA). This follows the expiry of the term of the current GEA. CEMA has established the GEA in order to benefit from the expertise of stakeholders specialised in the topics of financial stability and general economic research related to financial markets. CEMA looks to this group to provide it with advice regarding our work related to financial stability and economic background analysis for the regulatory and supervisory tasks of ESMA. The closing date for application is 25 April 2014. Application form | |||
| 11/06/2014 | ESMA/WP/2 | ESMA Working Paper- The systemic dimension of hedge fund illiquidity and prime brokerage | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 839.63 KB |
We analyse the potentially vulnerable and systemically relevant financial intermediation chain established by hedge funds and prime brokers. Our dataset covers the 306 largest global hedge funds and their prime brokers over the period July 2001 to December 2011. The study illustrates that hedge funds and prime brokers act as complementary trading partners in normal times. However, we observe that this form of financial intermediation may be severely impaired in times of market distress. This can be explained by the hoarding of liquid securities by prime brokers who are eager to avert runs by their clients. | |||
| 11/06/2014 | ESMA/WP/1 | ESMA Working Paper- Monitoring the European CDS market through networks: Implications for contagion risks | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 1005.17 KB |
Based on a unique data set referencing exposures on single name credit default swaps (CDS) on European reference entities, we study the structure and the topology of the European CDS market and its evolution from 2008 to 2012, resorting to network analysis. The structural features revealed show bilateral CDS exposures describing growing scale-free networks whose highly interconnected hubs constitute both a strength and weakness for the stability of the system. The potential “super spreaders” of financial contagion, identified as the most interconnected participants, consist mostly of banks. For some of them net notional exposures may be particularly large relative to their total common equity. Our findings also point to the importance of some non-dealer/non-bank participants belonging to the shadow banking system. | |||
| 07/11/2014 | 2014/1344 | ESMA Response to public consultation on the IAS Regulation | Corporate Disclosure, IAS Regulation | Reference | PDF 305.48 KB |
ESMA response to the European Commission consultation on the IAS Regulation |
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| 15/01/2015 | ESMA/WP/2015/1 | ESMA Working Paper- Real-world and risk-neutral probabilities in the regulation on the transparency of structured products | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 480.24 KB |
The price of derivatives (and hence of structured products) can be calculated as the discounted value of expected future payoffs, assuming standard hypotheses on frictionless and complete markets and on the type of stochastic processes for the price of the underlying. However, the probabilities used in the pricing process do not represent “real” probabilities of future events, because they are based on the assumption that market participants are risk-neutral. This paper reviews the relevant mathematical finance literature, and clarifies that the risk-neutrality hypothesis is acceptable for pricing, but not to forecast the future value of an asset. Therefore, we argue that regulatory initiatives that mandate intermediaries to give retail investors information on the probability that, at a future date, the value of a derivative will be higher or lower than a given threshold (so-called “probability scenarios”) should explicitly reference probabilities that take into account the risk premium (so-called “real-world” probabilities). We also argue that, though probability scenarios may look appealing to foster investor protection, their practical implementation, if based on the right economic approach, raises significant regulatory and enforcement problems. | |||
| 14/09/2015 | 2015/1291 | Risk Dashboard No. 3, 2105 | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 848.31 KB |
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| 16/12/2015 | 2015/1882 | Risk Dashboard No. 4, 2015 | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 931.3 KB |
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| 11/02/2016 | 2016/209 | ToR CEMA | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 128.84 KB |
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| 17/03/2016 | 2016/349 | Risk Dashboard No.1, 2016 | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 874.51 KB |
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| 04/04/2016 | 2016/218 | ToR Audit Working Group | Audit | Reference | PDF 113.35 KB |
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| 11/05/2016 | 2016/647 | Risk Dashboard No.2, 2016 | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 854.56 KB |
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| 02/06/2016 | 2016/773 RF | Reply form for the Discussion Paper on the Distributed Ledger Technology Applied to Securities Markets | Innovation and Products, Risk Analysis & Economics - Markets Infrastructure Investors | Reference | DOCX 755.79 KB |
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| 21/06/2016 | 2016/727 | Call for expressions of interest for CEMA Group of Economic Advisers (GEA) | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 242.04 KB |
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| 24/06/2016 | 2016/727 APPLICATION FORM | Application form for CEMA GEA | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | DOCX 26.09 KB |
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| 13/07/2016 | 2016/1096 | Risk Dashboard up-date 13 July 2016 | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 384.05 KB |
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| 30/08/2016 | 2016/1236 | Risk Dashboard No.3, 2016 | Risk Analysis & Economics - Markets Infrastructure Investors | Reference | PDF 866.72 KB |
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| 30/09/2016 | 2016/1409 | SFTR Tables | Post Trading, Securities Financing Transactions | Reference | XLSX 45.84 KB |
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| 13/10/2016 | 2016-IFRS | IFRS Foundation and ESMA statement of protocols for cooperation on International Financial Reporting Standards | Corporate Information, IAS Regulation, IFRS Supervisory Convergence | Reference | PDF 209.65 KB |
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| 08/11/2016 | 2016/1053 FORM | Application Form for FISC CWG | Innovation and Products, Risk Analysis & Economics - Markets Infrastructure Investors | Reference | DOCX 22.29 KB |