Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The...

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...

An optimal contract may involve randomization when the agents differ in their attitudes towards risk, so that randomization enables the principal to relax the incentive constraints. The paper provides a necessary and sufficient condition for local random deviations to be welfare improving in a...

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices. The single agent, in a dynamic exchange economy, treats uncertainty about the conditional mean of the probability distribution on consumption and dividends in the next period...

We introduce a new type of demand system using a feedforward artificial neural network. The neural network demand system is a flexible system that requires few hypotheses, has no roots in consumer theory but may be used to test it. We use the system to estimate demand elasticities on micro data...

A long pseudo panel is built from eight Canadian household budget surveys (1969-2008) in order to estimate demand functions on long periods. The difference between estimations is the cross-sectional and time dimensions allow the identification of non monetary constraints that influence...

This article investigates whether the formation of individual inflation expectations is biased towards a consensus and is thus subject to some kind of herding behavior. Basing on the traditional Carlson-Parkin approach to quantify qualitative survey expectations and its extension by Kaiser and...

This article investigates whether the formation of individual inflation expectations is biased towards a consensus and is thus subject to some kind of herding behavior. Basing on the traditional Carlson-Parkin approach to quantify qualitative survey expectations and its extension by Kaiser and...

Two financial structures are equivalent if, for each given state price, the images of their full payoff matrices of these financial structures are equal. The main consequence of this definition is that, regardless of the standard exchange economy ?, the existence of a financial equilibrium in an...

We consider a family of exchange economies where consumers have multiprior preferences representing their ambiguity aversion. Under a linear independence assumption, we prove that regular economies are generic. Regular economies exhibit enjoyable properties: odd finite number of equilibrium...