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Date Ref. Title Section Type Download Info Summary Related Documents Translated versions
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 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.
11/06/2014 ESMA/WP/1 ESMA Working Paper- Monitoring the European CDS market through networks: Implications for contagion risks 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.
11/06/2014 ESMA/WP/2 ESMA Working Paper- The systemic dimension of hedge fund illiquidity and prime brokerage 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.
28/02/2014 2014/205 Call for expressions of interest: Group of Economic Advisers for ESMA’s Committee for Economic and Markets Analysis 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
16/10/2013 2013/LCC/Recruitment ESMA Specific Privacy Notice – Selections and Recruitments , Reference PDF
70.67 KB
11/01/2013 EBA/REC/2013/01 EBA Recommendations on supervisory oversight of activities related to banks’ participation in the Euribor panel Reference PDF
207.84 KB
30/12/2010 09-172d Protocol on the Operation of CESR MiFID Database Reference PDF
127.16 KB
26/11/2010 10-1466 Call for expressions of interest regarding the setting up of ESMA’s Securities and Markets Stakeholder Group Reference PDF
101.99 KB
19/11/2010 10-1415 Summary of responses from investment firms and execution venues to CESR’s 2009 Best Execution Questionnaire (Sections 1-4) Reference PDF
346.24 KB
17/11/2010 10-212b Mandate for the IT management and governance group of CESR Reference PDF
156.14 KB
27/10/2010 10-1175a Data on Prospectuses approved and passported in the EU from January 2010 to June 2010 Reference PDF
77.3 KB
06/10/2010 10-1259 Supervisory notice- College of Supervisors announced for the Japan Credit Rating Agency Limited Reference PDF
55.8 KB
22/06/2010 10-006 Mandate for the Committee for Economic and Markets Analysis (CEMA) Reference PDF
100.83 KB
31/05/2010 AMP Italy Accepted Market Practics: Liquidity Enhancement Agreements and Purchase of own shares to set up a shares warehouse position (Italy) Reference PDF
151.52 KB
21/04/2010 10-349 Commission's response to CESR's letter regarding the MiFID review Reference PDF
99.53 KB
21/04/2010 10-349 Commission's response to CESR's letter regarding the MiFID review Reference PDF
99.53 KB
13/04/2010 MARKT G3/SH/cr Ares (2009) Commission request for additional information from CESR in relation to the review of MiFID Reference PDF
79.6 KB
22/12/2009 D001842 Mandate from Commissioner McCreevy to Eddy Wymeersch on implementing measures of UCITS IV Directive Reference TIF
239.89 KB
03/11/2009 09-1008 3L3 Work Programme 2010 Reference PDF
33.89 KB
03/11/2009 09-1053 CESR Work Programme 2010 Reference PDF
115.84 KB