Densities, risk-neutral densities (RNDs)

One of the measures used to assess movements in EURIBOR. Forward contracts based on EURIBOR are assumed. The model then assumes that market participants are risk-neutral. The part of the interest rate that is to be regarded as the risk premium is then calculated from the rates actually paid on the market. – Cf. ECB Monthly Bulletin, February 2008, p. 86 (explanation; overview).

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