The Renewed Lisbon Strategy: the Agenda and the State of Implementation in the Italian Regions

Con questa pubblicazione le Rappresentanze in Italia della Commissione Europea intendono contribuire ad informare l'opinione pubblica sul processo di rilancio della strategia di Lisbona attualmente in atto a livello comunitario per favorire il conseguimento dell¿obiettivo di trasformare entro il 2010 l¿Europa nell'economia basata sulla conoscenza più competitiva e dinamica del mondo. Questa pubblicazione intende in particolare richiamare per brevi punti le tappe principali del rilancio della strategia di Lisbona nell¿Unione Europea iniziata nel 2005 mostrando come per ogni Stato membro, e quindi anche per l¿Italia, il migliore coordinamento tra le azioni e le politiche attuate dalla Commissione Europea e quelle realizzate dal Governo nazionale sia il punto chiave di questo rilancio.JRC.G.9-Econometrics and statistical support to antifrau

Investigating the Efficiency of EU Deposit Guarantee Schemes

This Report considers the various meanings the word "efficiency" can have, the current way Deposit Guarantee Schemes (DGS) operate, and a quantitative analysis investigating the capability of the EU Member States to handle reimbursements or preventive interventions of varying magnitude. Consequently, this Report also describes the various steps of the intervention procedure (both in case of payout and for preventive interventions), the authorities involved and their interaction, and the way DGS manage and invest available funds. Even though it has been difficult to draw general and harmonized conclusions (as each incident was distinctive), some key conclusions can be made.JRC.G.9-Econometrics and statistical support to antifrau

Risk-based Contributions in EU Deposit Guarantee Schemes: Current Practices

This report describes the risk-based models and monitoring systems applied across the EU MS. On the one hand, it broadly illustrates systems currently applied across the EU to highlight the fundamental principles underlying risk determination; on the other, it provides more technical details of each method, including a description of the mathematical tools employed. Moreover, a numerical example of each risk-based methodology is discussed in order to reproduce the individual steps of the calculation.JRC.G.9-Econometrics and statistical support to antifrau

Possible models for risk-based contributions to EU Deposit Guarantee Schemes

JRC has investigated potential risk-based models for computing contributions of Deposit Guarantee Scheme (DGS) and assessed their potential impact across Member States. The report illustrates three possible approaches for calculating contributions on the basis of the risk profile of the DGS members (i.e. banks) and presents a preliminary impact assessment exercise.JRC.DG.G.9-Econometrics and applied statistic

Change in the DGS Level of Coverage Due to the 2008 Financial Crisis: First Basic Impact Evaluation

Scope of this report is the assessment of the impact of increasing the DGS level of coverage for banks¿ deposits (from current levels up to 50K¿ or possibly 100K¿) as a consequnce of the 2008 financial crisis.JRC.G.9-Econometrics and statistical support to antifrau

Cost Impact of Changing the Funding Mechanisms for Deposit-Guarantee

Directive 94/19/EC on Deposit Guarantee Schemes (DGS) requires EU Member States to have DGS in place, which protect depositors to a certain extent in cases of default. The Directive leaves many structural aspects of DGS to the discretion of MS, including the way DGS are financed. As a result, the DGS funding mechanisms are very heterogeneous among MS. Some MS finance their scheme by means of regular contributions, whereas others levy contributions only in the event of a crisis. In between, there are a wide variety of schemes which collect both ex-ante contributions and ex-post levies. This study aims at investigating the effects of harmonising the mechanisms for funding DGS across the EU with the aid of a scenario analysis which applies three different ex-ante scenarios across the EU MS.JRC.G.9-Econometrics and statistical support to antifrau

Empirical Evaluation of the Market Price of Risk using the CIR Model

We describe a simple but effective method for the estimation of the market price of risk. The basic idea is to compare the results obtained by following two different approaches in the application of the Cox-Ingersoll- Ross (CIR) model. In the ¯rst case, we apply the non-linear least squares method to cross sectional data (i.e. all rates of a single day). In the second case, we consider the short rate obtained by means of the ¯rst procedure as a proxy of the real market short rate. Starting from this new proxy, we evaluate the parameters of the CIR model by means of martingale estimation techniques. The estimate of the market price of risk is provided by comparing results obtained with these techniques, since this 2approach makes possible to isolate the market price of risk and evaluate, under the Local Expectations Hypothesis, the risk premium given by the market for different maturities. As a test case, we apply the method to data of the European Fixed Income Market.JRC.G.9-Econometrics and statistical support to antifrau

The Promptness of European Deposit Protection Schemes to Face Banking Failures

This paper aims to investigate the e±ciency of European Deposit Protection Schemes (DPS) in ensuring adequate financial protection to depositors both in stable and unstable situations. Using data provided by DPS just before the 2008 ¯nancial markets crisis, the analysis focuses on di®er- ent aspects of their functioning. The intervention procedures in force are compared, the amount of available funds are analyzed by means of three quantitative indicators to assess the fund adequacy and the fastness of consumers repayment is investigated using data on occurred interventions. It can be concluded that rather heterogeneous procedures are currently in place in the European Union member states, thus posing the question whether more harmonized rules are needed to enhance the effectiveness of the DPS role in the ¯nancial safety-net. While under stable market situations most of the European DPS would be capable to face a crisis, in case of a critical period, such as the one at the end of 2008, they could encounter problems to adequately ful¯ll their role of consumers protector. Concerning the fastness of repayments, more stringent rules might be advisable from a consumer's perspective. Key words: deposit insurance, safety-net, banking crises, financial regulationJRC.DG.G.9-Econometrics and applied statistic

PCA based calibration of an HJM model

Consiglio Nazionale delle Ricerche - Biblioteca Centrale - P.le Aldo Moro, 7 , Rome / CNR - Consiglio Nazionale delle RichercheSIGLEITItal

Pricing Caps and Floors with a consistent HJM model

Consiglio Nazionale delle Ricerche - Biblioteca Centrale - P.le Aldo Moro, 7 , Rome / CNR - Consiglio Nazionale delle RichercheSIGLEITItal