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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

Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil

Couppey-Soubeyran, Jézabel - HAL - 2010

The financial crisis has revealed the dysfunction of all banking and financial regulatory mechanisms. Prudential regulation failed to prevent the meltdown. Market discipline neglected to send any warning signals. Internal control was seriously undermined by doubtful dealings, in France as...

Persistent link: https://www.econbiz.de/10010635228

Missing trader fraud on the emissions market

Frunza, Marius-Cristian; Guegan, Dominique; Thiebaut, … - HAL - 2010

trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of … 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the …

Persistent link: https://www.econbiz.de/10010603689

Economic Analysis of Insurance Fraud

Picard, Pierre - HAL - 2012

We survey recent developments in the economic analysis of insurance fraud. The paper first sets out the two main … approaches to insurance fraud that have been developped in the literature, namely the costly state verification and the costly … be deterministic or random, and it can be conditioned on fraud signals perceived by insurers. Under costly state …

Persistent link: https://www.econbiz.de/10010821286

Typology of stock market offenses in France: An analysis of sanctions by the AMF since 2006

Demerens, Frédéric; Najar, Dorra; Paré, Jean-Louis; … - HAL - 2013

This paper presents a study intended to demonstrate how the Financial Market Authority (AMF) in France uses its regulatory and sanctioning powers with regard to brokers, listed companies and other actors (individuals) in the financial industry during the period 2006-2011. The AMF actions are...

Persistent link: https://www.econbiz.de/10010775229

Robustness and sensitivity analysis of risk measurement procedures

Cont, Rama; Deguest, Romain; Scandolo, Giacomo - HAL - 2010

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of ``risk measurement procedure", which includes both of...

Persistent link: https://www.econbiz.de/10008793218

Backtesting VaR Accuracy: A New Simple Test

Hurlin, Christophe; Tokpavi, Sessi - HAL - 2006

This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if there is a violation, and -α otherwise - for a nominal coverage rate α verifies the properties of a martingale difference if...

Persistent link: https://www.econbiz.de/10008794257

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

Optimal risk financing in large corporations through insurance captives

Picard, Pierre; Pinquet, Jean - HAL - 2011

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...

Persistent link: https://www.econbiz.de/10008855581

Farm risk management between normal business risk and climatic/market shocks

Cordier, Jean - HAL - 2008

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...

Persistent link: https://www.econbiz.de/10010602217