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...

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...

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...

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...

La supply chain apparaît plus vulnérable et fragile dans un contexte marqué par une grande pression concurrentielle, une demande volatile, une tendance vers les économies d'échelle et l'externalisation. La gestion de risque représente ainsi un enjeu incontournable et essentiel pour la...

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

EU institutions (Commission, Council and Parliament) have adopted the EU doctrine of the Precautionary Principle (PP) in year 2000, whereas the EU is the sole huge region where something called the PP is implemented and controlled by case law. There is nevertheless a huge contrast between this...

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...

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...