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...

The aim of this paper is to explore the main features of the new regime for packaging waste management established in France in 1992. A description of the institutional organisation is provided. Then, the paper analyses how the packaging tax implemented in France may allow the optimal...

La recherche de l'harmonisation des diverses vocations des espaces littoraux ne doit pas seulement être synchronique; elle doit être aussi diachronique, c'est-à dire assurer la compatibilité entre les formes de développement actuelles et les nouvelles formes de développement qui...

We introduce in this study a new strategy to model simultaneously persistence and seasonality inside economic data using different stochastic filters based on the Gegenbauer modelling. The limits and advantages of these filters are discussed in order to improve the adjustment of economic series,...

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...

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...

This paper presents a theorical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...

Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We...

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a...