Master Thesis Online
Extension ad hoc et application empirique du modèle d'évaluation des actifs financiers (MEDAF) incluant la notion de pertes opérationnelles
Mahamat Warou, Elhadji 
Promotor(s) :
Muller, Aline
Date of defense : 21-Jun-2018/26-Jun-2018 • Permalink : http://hdl.handle.net/2268.2/4849
MAHAMAT WAROU Elhadji-Memoire.pdfDetails
| Title : | Extension ad hoc et application empirique du modèle d'évaluation des actifs financiers (MEDAF) incluant la notion de pertes opérationnelles |
| Author : | Mahamat Warou, Elhadji
|
| Date of defense : | 21-Jun-2018/26-Jun-2018 |
| Advisor(s) : | Muller, Aline
|
| Committee's member(s) : | Boussaid, Nabila
Bonesire, Thomas
|
| Language : | French |
| Number of pages : | 65 |
| Keywords : | [fr] MEDAF [fr] Risque opérationnel [fr] Comité de Bâle [fr] Pertes opérationnelles [fr] Rendements anormaux [fr] Bâle II [fr] Extension ad hoc du MEDAF [fr] Black Jensen et Scholes |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[fr] The Basel II accord implies to financial institutions to quantify operational risk and to forecast a minimum capital requirement in order to hedge this risk, this accord doesn’t propose a model that includes the notion of operational loss as for the computation of expected returns. In this thesis, we will propose an ad hoc version of the CAPM including the operational loss notion. We will also propose an ad hoc version of the Black, Jensen and Scholes model (1972).
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