In the existing literature on barrier options much effort has been exerted to ensure convergence
through placing the barrier in close proximity to, or directly onto, the nodes of the tree …

We use data on loan loss provisions and total loans over the period spanning 1995 until
2009 to estimate a stress testing model for the Luxembourg banking sector. The sample …

Severe financial turbulences are driven by high impact and low probability events that are
the characteristic hallmarks of systemic financial stress. These unlikely adverse events arise …

By examining data on the gold forward offered rate (GOFO) and lease rates over the period
1996-2009, we conclude that the convenience yield of gold is better approximated by the …

Securities financing transaction (SFT) markets and the management and usage of collateral
are elements of the financial system which are of systemic relevance. As such, there is a …

By examining data on the Gold Forward Offered Rate (GOFO) and lease rates, we conclude
that the convenience yield of gold is better approximated by the lease rate than the interest …

Severe financial turbulence is driven by high impact and low probability events that are the
hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme …

This paper studies the cyclical properties of bank loans to non-financial corporations, bank
loans to households, bank loans to the non-financial private sector and house prices in …

In this research we examine a new method for pricing European call options based on a
nonparametric estimate of the probability density of the underlying asset’s returns. Such an …

La balance des transactions courantes de la balance des paiements luxembourgeoise est
confrontée à une forte modification de ses composantes: déficit persistant de la balance des …