ESRB RISK DASHBOARD - European Systemic Risk Board - Europa

5.3 Price/earnings ratio of equity indices, broken down
by sector
(1 Jan. 1999 - 28 Feb. 2013) (4 Jan. 1999 - 28 Feb. 2013)
35
30
25
20
15
10
5
0
EU non-financial corporations
EU main index
2000 2002 2004 2006 2008 2010 2012
ESRB risk dashboard 1 M a r c h 2 0 1 3
EU banking sector
EU insurance sector
35
30
25
20
15
10
5
0
5.4 Short-term interest rates - implied volatility:
three months - one year
280
260
240
220
200
180
160
140
120
100
80
60
40
20
0
EUR SWPT ATM BVOL 3M1Y
GBP Swaption 3M1Y
USD Swaption 3M1Y
2000 2002 2004 2006 2008 2010 2012
Source: Thomson Reuters. Source: Bloomberg.
Note: Volatility is implied by at-the-money swaption prices observed in the market.
5.5 Long-term interest rates - implied volatility:
three months - ten years
5.6 Exchange rate volatility
(4 Jan. 1999 - 28 Feb. 2013) (1 Jan. 1999 - 28 Feb. 2013)
90
80
70
60
50
40
30
20
10
0
EUR SWPT ATM BVOL 3M10Y
GBP Swaption 3M10Y
USD Swaption 3M10Y
2000 2002 2004 2006 2008 2010 2012
Source: Bloomberg.
Note: Volatility is implied by at-the-money swaption prices observed in the market.
90
80
70
60
50
40
30
20
10
0
35
30
25
20
15
10
5
0
EUR-USD EUR-JPY USD-JPY
2000 2002 2004 2006 2008 2010 2012
Source: Bloomberg.
Note: Volatility is implied by at-the-money option prices observed in the market
for major currencies, based on three-month maturity.
280
260
240
220
200
180
160
140
120
100
80
60
40
20
0
35
30
25
20
15
10
5
0
25