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Long-term risk management for utility companies: the next challenges

Aïd, René - HAL - 2008

Since the energy markets liberalisation at the beginning of the 1990s in Europe, electricity monopolies have gone through a profound evolution process. From an industrial organisation point of view, they lost their monopoly on their historical business, but gained the capacity to develop in any...

Persistent link: https://www.econbiz.de/10008794408

Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach

Santos, Holger Capa; Kratz, Marie; Munoz, Franklin Mosquera - HAL - 2012

This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the...

Persistent link: https://www.econbiz.de/10010543494

A new algorithm for the loss distribution function with applications to Operational Risk Management

Guegan, Dominique; Hassani, Bertrand - HAL - 2009

Operational risks inside banks and insurance companies is currently an important task. The computation of a risk measure associated to these risks lies on the knowledge of the so-called Loss Distribution Function. Traditionally this distribution function is computed via the Panjer algorithm...

Persistent link: https://www.econbiz.de/10010738597

A modified Panjer algorithm for operational risk capital calculations

Guegan, Dominique; Hassani, Bertrand - HAL - 2009

Operational risk management inside banks and insurance companies is an important task. The computation of a risk measure associated to these kinds of risks lies in the knowledge of the so-called loss distribution function (LDF). Traditionally, this LDF is computed via Monte Carlo simulations or...

Persistent link: https://www.econbiz.de/10010738680

CAPITAL REQUIREMENTS FOR OPERATIONAL RISK: AN INCENTIVE APPROACH

Belhaj, Mohamed - HAL - 2010

This paper proposes a simple continuous time model to analyze capital charges for operational risk. We find that undercapitalized banks have less incentives to reduce their operational risk exposure. We view operational risk charge as a tool to reduce the moral hazard problem. Our results show,...

Persistent link: https://www.econbiz.de/10008794062

An efficient threshold choice for operational risk capital computation

Guegan, Dominique; Hassani, Bertrand; Naud, Cédric - HAL - 2010

Operational risk quantification requires dealing with data sets which often present extreme values which have a tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions to model the tail of the loss distribution function. We...

Persistent link: https://www.econbiz.de/10010635033

The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand; Renaudin, Alexis - HAL - 2013

According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...

Persistent link: https://www.econbiz.de/10010635130

An efficient threshold choice for operational risk capital computation

Guegan, Dominique; Hassani, Bertrand; Naud, Cédric - HAL - 2011

Operational risk quantification requires dealing with data sets which often present extreme values which have a tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions, and propose a two pattern model to characterize loss...

Persistent link: https://www.econbiz.de/10011025542

Using ex post data to estimate the hurdle rate of abatement investments - an application to sulfur emissions from the Swedish pulp and paper industry and energy sector

Löfgren, Åsa; Millock, Katrin; Nauges, Céline - HAL - 2008

paper industry, and the energy and heating sector from 2000 to 2003. The results indicate a hurdle rate of investment of 2 …

Persistent link: https://www.econbiz.de/10010750596

Optimal Transition from Coal to Gas and Renewable Power under Capacity Constraints and Adjustment Costs

Lecuyer, Oskar; Vogt-Schilb, Adrien - HAL - 2014

, gas, and renewable power plants). It finds that optimal investment in renewable energy may start before coal power has … been phased out and even before investment in gas has started, because doing so allows for smoothing investment over time … and reduces adjustment costs. Gas plants may be used to reduce short-term investment in renewable power and associated …

Persistent link: https://www.econbiz.de/10010890090