ASSET ALLOCATION IN EUROPE Reality vs. Expectations. ECMI Task Force Report April 2020

In Europe, capital markets are expected to play a more prominent role in corporate financing, retail/institutional saving/investment and private risk-sharing altogether. In the current institutional cycle, CMU remains as relevant as ever. However, it needs rethinking at EU level and real commitment from member states. The capacity of capital markets to enhance the resilience of our societies as a whole, especially when confronted with unprecedented shocks, should certainly be given more thorough consideration. In order to contribute to the public debate, CEPS and ECMI invited relevant stakeholders– policymakers, supervisors, consumer associations, industry representatives, and academics – to take part in a dedicated Task Force on “Asset Allocation in Europe: What challenges and opportunities lie ahead?”. The main objective of our initiative was to explore meaningful ways of activating long-term savings and investment channels across the EU, with a focus on households, asset/fund managers, insurers and pension funds, under the overarching theme of sustainability in the real economy. The recent developments related to COVID-19 were also taken into account. To this end, we invite you to read the analytical sections in this final report as well as the accompanying list of recommendations

Fostering Institutional Investment in Europe’s Capital Markets Reality vs. Expectations. 2nd Interim Report of the CEPS-ECMI Task Force on Asset Allocation in Europe. ECMI Research Reports April 2018

The Capital Markets Union (CMU) initiative has set out important priorities in the area of asset allocation, such as increasing retail participation, promoting sustainable investment, and removing barriers to cross-border activities. Capital markets are expected to enhance long-term value creation in the real economy, and institutional investors to play a more constructive role in achieving this overall objective. This second Interim Report is based on the discussions among the experts present at the Task Force meeting held on 24 October 2017, additional secondary research and targeted bilateral consultations. The main ideas will be considered Final Task Force Report, which will put forward a series of policy recommendations supported by in-depth quantitative and qualitative analysis. More detailed information about the Task Force is available here

Predicting Destinations by Nearest Neighbor Search on Training Vessel Routes

The DEBS Grand Challenge 2018 is set in the context of maritime route prediction. Vessel routes are modeled as streams of Automatic Identification System (AIS) data points selected from real-world tracking data. The challenge requires to correctly estimate the destination ports and arrival times of vessel trips, as early as possible. Our proposed solution partitions the training vessel routes by reported destination port and uses a nearest neighbor search to find the training routes that are closer to the query AIS point. Particular improvements have been included as well, such as a way to avoid changing the predicted ports frequently within one query route and automating the parameters tuning by the use of a genetic algorithm. This leads to significant improvements on the final score

Creating Long-Term Value in Europe's Capital Markets: Opportunities and constraints. 1st Interim Report of the CEPS-ECMI Task Force on Asset Allocation in Europe. CEPS Research Report, November 2017

Capital markets have reached different stages of development throughout Europe, and matching the supply and demand of capital on a cross-border basis remains an elusive goal. As a consequence, the participation of retail investors in capital markets as well as the size and structure of the non-bank financial sector vary significantly across member states. In 2016, the total financial assets of European households and the investment portfolios of asset managers, insurers and pension funds amounted to over €35 trillion each

Strengthening the EU policy framework for retail investors. ECMI Commentary No 70 22 Oct 2020.

Retail investors need coherent and reliable narratives around capital markets. This requires moving away from reductive debates about products and providers. Rather, a comprehensive agenda for retail investors should focus on solutions (and underlying asset classes) to meet specific financial objectives (fully scalable and/or customised). And ultimately, the financial industry must deliver ‘good value for money’. The CMU 2.0 Action Plan alone is not likely to solve long-standing structural problems. Ensuring that retail investors benefit in practice from the same safeguards as professional and institutional investors is essential. Weaknesses in supervision and enforcement could give rise to regulatory arbitrage or market fragmentation, which will be to the detriment of these investors

The United States and Canada as a coupled epidemiological system: An example from hepatitis A

<p>Abstract</p> <p>Background</p> <p>Hepatitis A (HA) is a low-incidence, non-endemic disease in Canada and the United States (US). However, a large difference in HA incidence between Canada and HA-endemic countries has made travel an important contributor to hepatitis A prevalence in Canada. There is also a (smaller) incidence differential between Canada and the US. Although the US has only moderately higher HA incidence, the volume of travel by Canadians to the US is many times higher than travel volume to endemic countries. Hence, travel to the US may constitute a source of low to moderate risk for Canadian travelers. To our knowledge, travel to the US has never been included as a potential risk factor for HA infection in Canadian epidemiologic analyses. The objective of this study was to use dynamic models to investigate the possible effects on hepatitis A incidence in Canada due to (1) implementing vaccination in the US, and (2) varying the volume of travel by Canadians to the US.</p> <p>Methods</p> <p>We developed and analyzed age-structured compartmental models for the transmission and vaccination of hepatitis A, for both Canada and the US. Models were parameterized using data on seroprevalence, case reporting, and travel patterns. The potential effect of hepatitis A prevalence in the US on hepatitis A prevalence in Canada was captured through a term representing infection of Canadians due to travel in the US.</p> <p>Results</p> <p>The model suggests that approximately 22% of HA cases in Canada in the mid 1990s may have been attributable to travel to the US. A universal vaccination programme that attained 70% coverage in young children in the US in the mid 1990s could have reduced Canadian incidence by 21% within 5 years.</p> <p>Conclusion</p> <p>Since not all necessary data were available to parameterize the model, the results should be considered exploratory. However, the analysis shows that, under plausible assumptions, the US may be more important for determining HA prevalence in Canada than is currently supposed. As international travel continues to grow, making vaccination policies ever more relevant to populations beyond a country's borders, such multi-country models will most likely come into wider use as predictive aids for policy development.</p> <p/

The OTC derivatives markets after financial reforms. CEPS ECMI Commentary No. 36, May 2014

Over the past five years, over-the-counter (OTC) derivatives markets have received heightened regulatory attention, due to their opaqueness, size and interconnectedness, with a view to improving the robustness, safety and resilience of this market segment. There has been continued progress in the follow-up to the G-20 commitments, with the EU (EMIR, MIFID II, CRD/CRR IV, MAD) and the US (Swap Execution Facility or SEF, Title VII of Dodd-Frank Act, Basel III) leading in the implementation timelines and capturing approximately 80-90% of the overall market. Based on the data compiled for the yearly ECMI Statistical Package, this commentary provides a snapshot of the current status of the global OTC derivatives markets by: i) identifying general trends over the past decade, ii) looking at the changes in the market structure (instruments and participants), iii) estimating the uncollateralised derivatives exposure and iv) examining the relationship between OTC derivatives and exchange-traded derivatives (ETD)

Sustaining Growth through Innovation in Capital Markets. Report of the 2018 ECMI Annual Conference. CEPS ECMI Research Reports, December 2018

Well-functioning, deeper and highly integrated European capital markets are expected to play a greater role in providing alternative corporate funding, better savings/investment opportunities and enhancing private risk-sharing mechanisms. At the Annual Conference organised in Brussels on 10 October 2018, policy makers, industry representatives and academics contributed to the public debate about the capacity of capital markets to enable long-term value creation in the real economy, namely supporting innovative companies and sustainable economic growth. As the end of the five years of the Juncker mandate approaches, European capital markets are at a very important intersection. The Capital Markets Union (CMU) project should aim beyond the actions set for end-2019, towards a revamped strategy for EU-27. However, before setting priorities for the future, it was necessary to take a critical look backwards on what has been promised and what has been achieved. Despite the huge demand for capital, innovative companies and small enterprises are tending to prefer staying private longer or not going public at all. Although the Commission is committed to unlocking the full potential of sustainable finance, current ESG investment represents a very niche part of the total fund market. Last but not least, capital markets across Europe, and particular in the CEE region, remain significantly less developed, both in terms of size and liquidity. For ECMI, pursuing a path traced 25 years ago, this means an even more active and vital role in steering the discussion and engaging in strategic thinking about Europe’s capital markets

The Simulated Process of a Production System using the Extend Program

With the help of the simulated process, it could be realized all kind of experiments on a model. It could be tested lots of ideas, a returning in time to make possible remaking of manipulation scripts of some key variables with the purpose of observation based on experiments the effect above some important indicators of performances.production system, simulation, indicators, optimization