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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 …

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 …

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

Are Technoparks High Tech Fantasies? Lessons from the Tunisian Experience

Youssef, Adel Ben; Elaheebocus, Nawsheen; M'Henni, Hatem; … - HAL - 2012

and emerging economies using the example of Tunisia. This article is based on a thorough desk review and informal … interviews with TP entrepreneurs and managers in Tunisia. Setting up "ex-nihilo" ten TPs in Tunisia in the mid-1990s was a … the first Mediterranean country to enter in a free trade area with the EU in 1995, Tunisia needed to boost its …

Persistent link: https://www.econbiz.de/10010933136

Wages and On-the-Job Training in Tunisia

Muller, Christophe; Nordman, Christophe J. - HAL - 2012

information. This is important because training costs may be a major obstacle to intra-firm human capital accumulation in Tunisia …

Persistent link: https://www.econbiz.de/10010933883

Testing for Separation in Agricultural Household Models and Unobservable Household-Specific Effects

Arcand, Jean-Louis; D'Hombres, Béatrice - HAL - 2011

When market structure is complete, factor demands by households will be independent of their characteristics, and households will take their production decisions as if they were profit-maximizing firms. This observation constitutes the basis for one of the most popular empirical tests for...

Persistent link: https://www.econbiz.de/10008805103