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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

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

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

Risk Management strategies in a highly uncertain environment: undesrtanding the role of common unknown

Kokshagina, Olga; Masson, Pascal Le; Weil, Benoit; … - HAL - 2012

This work deals with strategies of risk management techniques in projects and portfolios in the situation of radical innovation. Existing literature suggests different methods of risk management at the level of 1) projects (S1) (unknown reduction by selecting a priori the less uncertain...

Persistent link: https://www.econbiz.de/10010820842

Likelihood-based scoring rules for comparing density forecasts in tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - HAL - 2011

We propose new scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules can be interpreted in terms of...

Persistent link: https://www.econbiz.de/10010820862

Platform emergence in double unknown: Common challenge strategy

Kokshagina, Olga; Masson, Pascal Le; Weil, Benoît; … - HAL - 2012

The proposed paper deals with platform emergence in double unknown situations when technology and markets are highly uncertain. The interest in technological platform development to enable creation of products and processes that support present and future development of multiple options is...

Persistent link: https://www.econbiz.de/10010820888

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

Persistent link: https://www.econbiz.de/10010821003

Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy

Caillault, Cyril; Guegan, Dominique - HAL - 2009

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...

Persistent link: https://www.econbiz.de/10010738564