This paper empirically analyzes the main microeconomic determinants of different forms of corruption supply. Our study is based on a new database of near 600 Algerian, Moroccan and Tunisian firms. We show that the undeclared part of firms' sales is a major factor of their involvement in...

This paper generalizes the Bollerslev and Zhang (2003) approach for the estimation of loadings of asset pricing models using "realized" measures and co-measures of risk. We propose here to extend this approach by including higher-moments in asset pricing models. Estimations are conducted using...

The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to take into account the embedded dependence structures of operational risks. The loss...

A robust feature of the corporate growth process is the Laplace, or symmetric exponential, distribution of firm growth rates. In this paper, we sketch out a class of simple theoretical models capable of explaining this empirical regularity. We do not attempt to generalize on where growth...

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...

The particular subject of this paper, is to construct a general framework that can consider and analyse in the same time upside and downside risks. This paper offers a comparative analysis of concept risk measures, we focus on quantile based risk measure (ES and VaR), spectral risk measure and...

Stress testing is used to determine the stability or the resilience of a given financial institution by deliberately submitting. In this paper, we focus on what may lead a bank to fail and how its resilience can be measured. Two families of triggers are analysed: the first stands in the stands...

Earlier literature has investigated the drop in household consumption upon retirement of the head of the household, the so-called “retirement consumption puzzle”. Here, we expand on these studies by considering also retirement of the wife, thus distinguishing households in which the wife is...

Earlier studies conclude that spouses time their retirement closely together. Here, we exploit early retirement age legislation to identify the effect of own and spousal retirement on spouses' hours of work. The sample for the analysis includes over 85000 French couples. We conclude that hours...

Researchers in finance very often rely on highly persistent Ñ nearly integrated Ñ explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...