1. The Resocot Projet is a research project which brought together teams of researchers from the North and Africa, not all of which were familiar with the theoretical approach used at the outset. This project aims at developing a methodology and materials to help assess the performance of the...

The aim of this paper is to estimate the impact of weather related income shocks on child health in rural Burkina Faso where rain fed agriculture is the dominant production system. We combine health data originating from the 2008 household survey with meteorological data to define shocks at the...

A captive is an insurance or reinsurance company established by a parent group to finance its own risks. Captives mix internal risk pooling between the business units of the parent group and risk transfer toward the reinsurance market. We analyze captives from an optimal insurance contract...

Some company boards of directors and management teams are still reluctant to embrace enterprise risk management (ERM) because of the uncertainty regarding its value to the bottom line. A survey of audit and risk management executives suggests that the use of ERM leads to increased management...

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty of such events have occurred in financial markets during the last two decades, including stock market crashes, currency crises, or large bankruptcies. This article applies extreme value theory...

The ultimate goal of risk management is the generation of efficient incomes. The objective is to generate the maximum return for a unit of risk taken or to minimise the risk taken to generate the return expected i.e. it is the optimisation of a financial institution strategy. Therefore, by...

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

In this paper we propose an NLP-based method for Ontology Population from texts and apply it to semi automatic instantiate a Generic Knowledge Base (Generic Domain Ontology) in the risk management domain. The approach is semi-automatic and uses a domain expert intervention for validation. The...