This paper presents a methodology for incorporating a regime-based approach to portfolio optimisation, specifically for fixed income portfolios. By segmenting the market into distinct periods or "regimes" characterised by different market conditions, such as high or low volatility, investors can...
The EIB Group (the ‘EIBG’ or the ‘Group’’) does not fall within the scope of application of the European Union (EU)’s legislation applicable to credit institutions, in particular the Capital Requirements Directive and Regulation (Directive 2013/36/EU or ‘CRD’, Regulation 575/2013 or ‘CRR’, as am...
This report considers the main risks and vulnerabilities associated with investment funds and other financial institutions (OFIs), as well as crypto-assets and associated intermediaries, in 2024. It presents an activities-based view of financial market segments commonly associated with non-bank ...
Andersen and Sánchez Serrano (2024) define a methodology for building a map of the euro area financial system using data from the quarterly sectoral accounts of the euro area (complemented with data from other sources). This map can be useful for macroprudential authorities in regularly monitori...
On 2 December 2021 the General Board of the European Systemic Risk Board (ESRB) adopted Recommendation ESRB/2021/17 on a pan-European systemic cyber incident coordination framework for relevant authorities (hereinafter the “Recommendation”). This compliance report presents the outcome of the sec...
