Calculating return periods and critical layers (i.e., multivariate quantile curves) in a multivariate environment is a di cult problem. A possible consistent theoretical framework for the calculation of the return period, in a multi-dimensional environment, is essentially based on the notion of...

Small to medium enterprises (SME) are frequently associated with high levels of innovation. However, it is difficult for such firms to fully assess the merits of a particular innovation. This study examined the risk-return profile of future investment in innovation by SME with respect to...

The METSTOR project offers a methodology to look for potentially interesting CO2 storage areas in France at the initial stage, before the "site selection" step. Our tool, embodied in a Geographic Information System, is based on an interactive map of CO2 storage capacities. Other relevant...

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 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...

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...

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...

Farm risk management for income stabilization is on-going issue. An applied work has been performed to measure farm risk using a stochastic model. Risk management tools, with symmetric as well as asymmetric impacts, are then tested and compared through ad hoc statistics. Normal farm business...

We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that...

Si la littérature, reconnait la vulnérabilité des Supply Chains Internationales et les risques auxquels elles sont exposées, il est cependant étonnant, de constater le manque de cadres conceptuels et de résultats empiriques qui puissent fournir une compréhension claire du concept de...