Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression...

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

In this work, we apply the Lindstedt–Poincaré method in order to seek the periodic solutions of the Barbanis–Contopoulos nonintegrable Hamiltonian system. We first prove that this system admits six nontrivial periodic families in the neighbourhood of the origin. Then we compute the series...

We perform the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to investigate the multifractal properties of the Moroccan All Shared Index (MASI) and the Moroccan Most Active Shares Index (MADEX) from the Casablanca Stock Exchange (CSE). By applying the MF-DFA method we first...

In this paper, we studied the spillover effect among four financial markets from MENA area during a period that was characterized by political instability. The countries chosen are also signatories of an agreement of free trade in order to liberalize the movement flowing of their capitals. As...

In this paper, we investigated multifractal cross-correlations qualitatively and quantitatively using a cross-correlation test and the Multifractal detrended cross-correlation analysis method (MF-DCCA) for markets in the MENA area. We used cross-correlation coefficients to measure the level of...