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Geyer, Dominique - HAL - 2010

An important neef of corporations for internal audits is the ability to detect fraudulently reported financial data. Benford's Law is a probability distribution which is useful to analyse patterns of digits in numbers sets. A history of the origins of Benford's Law is given and the types of data...

Persistent link: https://www.econbiz.de/10010898842

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

Opening the "black box" How internal reporting systems contribute to the quality of financial disclosure

Cavelius, Florence - HAL - 2011

investments. The purpose of this paper is to open the "black box" of the construction of financial disclosure by analyzing the …, the quality of the financial disclosure and the internal reporting systems are measured, and analyzed with a view to … finding some links between them. It is expected that the quality of disclosure is dependent on the quality of the internal …

Persistent link: https://www.econbiz.de/10010820808

An Experiment in the Economic Consequences of Additional Disclosure: The Case of the Fair Value of Unlisted Equity Investments

Ding, Yuan; Jeanjean, Thomas; Lesage, Cédric; Stolowy, … - HAL - 2009

We investigate the economic consequences of additional disclosure about assets with no active market in terms of … value 24 investments. We manipulate the level of disclosure on the fair value of assets (Limited versus Full), the …. Full) disclosure, participants are given a point estimate for the fair value of the investment (resp. plus a range of …

Persistent link: https://www.econbiz.de/10008791819