Basel II and Operational Risk: Implications for risk measurement and management in the financial sector

This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses, using internal and external loss data. It is illustrated on a 2x2 matrix of two selected business lines and two event types, drawn from a database of 3000 losses obtained from a large European banking institution. For each cell, the method calibrates three truncated distributions functions for the body of internal data, the tail of internal data, and external data. When the dependence structure between aggregate losses and the non-linear adjustment of external data are explicitly taken into account, the regulatory capital computed with the AMA method proves to be substantially lower than with less sophisticated approaches allowed by the Basel II Accord, although the effect is not uniform for all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that substantial savings can be achieved through active management techniques, although the estimated effect of a reduction of the number, frequency or severity of operational losses crucially depends on the calibration of the aggregate loss distributions.operational risk management, basel II, advanced measurement approach, copulae, external data, EVT, RAROC, cost-benefit analysis.

Le retour d'expérience de la gestion des crises : d'octobre 1986 à septembre 2001

National audienceRappelez-vous Bhopal (3/12/1984), Challenger (28/1/1986), Tchernobyl (26/4/1986). Il faut de très cruelles séries noires pour rappeler aux terriens de se remettre à l'étude du Danger. En octobre 1986, ce sont Les Annales des Mines qui consacraient aux Risques Technologiques Majeurs un numéro spécial, motivé par la grande émotion suscitée par cette effroyable série. Les événements tragiques de la fin 2001, “11 septembre” et AZF à Toulouse, renforcent, si cela était nécessaire, le besoin d'analyser les accidents et les crises et d'en tirer des enseignements

Economic evaluation of osteoporosis screening strategy conducted in the Province of Liège with the cooperation of Liège Province Santé

peer reviewedThe Province of Liege has conducted an osteoporosis screening strategy for women aged 50 to 69 years. The objective of this study is to investigate the economic characteristics of the screening strategy and to assess its cost-effectiveness, using a Markov microsimulation model. Our analyses suggest that the osteoporosis screening strategy is efficient if the medical community and the patients fulfill the recommendations of the Province of Liege health authorities and if persistence is optimized. Therefore, bone mineral density (BMD) measurement should be performed in all individuals with positive ultrasound screening; individuals having a positive BMD diagnosis should be treated and adherence to therapy should be increased. Furthermore, to improve the efficiency of the screening strategy, we suggest to target screening on women with one or more clinical risk factors, or on women aged 65 years and older

Computational identification of transcriptionally co-regulated genes, validation with the four ANT isoform genes.

International audienceABSTRACT: BACKGROUND: The analysis of gene promoters is essential to understand the mechanisms of transcriptional regulation required under the effects of physiological processes, nutritional intake or pathologies. In higher eukaryotes, transcriptional regulation implies the recruitment of a set of regulatory proteins that bind on combinations of nucleotide motifs. We developed a computational analysis of promoter nucleotide sequences, to identify co-regulated genes by combining several programs that allowed us to build regulatory models and perform a crossed analysis on several databases. This strategy was tested on a set of four human genes encoding isoforms 1 to 4 of the mitochondrial ADP/ATP carrier ANT. Each isoform has a specific tissue expression profile linked to its role in cellular bioenergetics. RESULTS: From their promoter sequence and from the phylogenetic evolution of these ANT genes in mammals, we constructed combinations of specific regulatory elements. These models were screened using the full human genome and databases of promoter sequences from human and several other mammalian species. For each of transcriptionally regulated ANT1, 2 and 4 genes, a set of co-regulated genes was identified and their over-expression was verified in microarray databases. CONCLUSIONS: Most of the identified genes encode proteins with a cellular function and specificity in agreement with those of the corresponding ANT isoform. Our in silico study shows that the tissue specific gene expression is mainly driven by promoter regulatory sequences located up to about a thousand base pairs upstream the transcription start site. Moreover, this computational strategy on the study of regulatory pathways should provide, along with transcriptomics and metabolomics, data to construct cellular metabolic networks

Mesures de courant, de marée et de vent dans le lagon sud-ouest de Nouvelle-Calédonie : 2ème partie : juillet 1989 à octobre 1990

Ce rapport scientifique et technique présente l'ensemble des données physiques récoltées, de juillet 1989 à octobre 1990, dans le cadre du programme de modélisation du lagon sud-ouest de Nouvelle-Calédonie. Durant cette période, il a été mesuré le courant à partir de 3 mouillages de 2 courantomètres, le niveau de la mer à partir de 4 marégraphes et le vent par 2 stations météorologiques. Dans une première partie la technique de mouillage, la localisation des appareils et les différents problèmes rencontrés sont expliqués. Dans une deuxième partie l'ensemble des tracés liés à ces mesures est donné. (Résumé d'auteur