References of "Plunus, Séverine"
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See detailAccommodating profile dynamism in MiFID II
Hübner, Georges ULg; Plunus, Séverine ULg

in Revue Bancaire et Financière = Bank- en Financiewezen (2013), (3),

The requirements of the MiFID I and II Directives regarding suitability of investor's advice seem a burden to many banks. Such a point of view induces them, in turn, to consider investor profiling with ... [more ▼]

The requirements of the MiFID I and II Directives regarding suitability of investor's advice seem a burden to many banks. Such a point of view induces them, in turn, to consider investor profiling with great reluctance, and restrict their view on the administrative side only. In this paper, we claim that a genuine client-centric advisory process could turn the personal information gathering and analysis stage into a real asset for a loyal and mutually profitable relationship. The recognition of the different facets of investor profiles - objectives and constraints, horizon, but most notably the distinct dimensions of risk aversion and loss aversion - enables the financial advisor to get a much more refined, objective and convincing financial picture of the client. This, in turn, opens up the way to a greater alignment of the portfolio on the profile. We show, with the example of traditional portfolio allocations based on a static asset allocation process, that the full complexity of the investor's requirement is not met by only accounting for risk aversion in the profiling process. Worse still, the new MiFID II requirement of a dynamic monitoring of the portfolio-profile relation over time can totally become out of control. We also demonstrate that with proper tools, the advisor and portfolio manager can indeed combine a compliance to the letter and spirit of the regulatory process, with the fulfillment of the investor's objective and the generation of "happy moments" in the customer relationship. To achieve this virtuous cycle, financial institutions have to understand that the traditional approaches inherited from the 20th century have to evolve, just like medicine cannot afford to diagnoses diseases on the basis of remedies that used to be state-of-the-art decades ago. [less ▲]

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See detailReputational damage of operational loss on the bond market: Evidence from the financial industry
Plunus, Séverine ULg; Gillet, Roland; Hübner, Georges ULg

in International Review of Financial Analysis (2012), 24

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on ... [more ▼]

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on the bond market of the companies having suffered those losses as a pure reputational impact of operational loss announcements. For a given operational loss, bond returns might be affected at up to three different periods: at the first press release date, when the company recognizes the loss itself and at the settlement date. These impacts hold stronger than for common stocks. We also study the effect of investors' knowledge of the loss amount, and show that the type of operational event and the proportion of the loss in the firm's market value influence the effect of the loss announcement. Cross-sectional analysis indicates that the abnormal return is mostly affected by market-based characteristics for the first press release date, while firm-related characteristics largely affect bond returns upon loss recognition. [less ▲]

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See detailMeasuring operational risk in financial institutions
Plunus, Séverine ULg; Hübner, Georges ULg; Peters, Jean-Philippe ULg

in Applied Financial Economics (2012), 22(18), 1553-1569

The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a ... [more ▼]

The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a greater variety in credit risk modelling, this article explores the applicability of a modified version of CreditRisk+ to operational loss data. Our adapted model, OpRisk+, works out very satisfying Values-at-Risk (VaR) at 95% level as compared with estimates drawn from sophisticated AMA models. OpRisk+ proves to be especially worthy in the case of small samples, where more complex methods cannot be applied. OpRisk+ could therefore be used to fit the body of the distribution of operational losses up to the 95%-percentile, while Extreme Value Theory (EVT), external databases or scenario analysis should be used beyond this quantile. [less ▲]

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See detailHow to Asess a Manager Recovery Skill?
Sougné, Danielle ULg; Bodson, Laurent ULg; Plunus, Séverine ULg et al

Scientific conference (2010, October 21)

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See detailOperational Risk and Reputation in the Financial Industry
Gillet, Roland; Hübner, Georges ULg; Plunus, Séverine ULg

in Journal of Banking and Finance (2010), 34

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals ... [more ▼]

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals with 154 events coming from the FIRST database of OpVantage. Events occurred between 1990 and 2004 in companies belonging to the financial sector and that are listed on the major European and US Stock Exchanges. Results show significant, negative abnormal returns at the announcement date of the loss, along with an increase in the volumes of trade. In cases of internal fraud, the loss in market value is greater that the operational loss amount announced, which is interpreted as a sign of reputational damage. Negative impact is proportionally greater when the loss amount represents a larger share in the company’s net profit. [less ▲]

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See detailApplication de CreditRisk+ au risque opérationnel
Plunus, Séverine ULg; Hübner, Georges ULg; Peters, Jean-Philippe

in Chapelle, Ariane; Hübner, Georges; Peters, Jean-Philippe (Eds.) Le risque opérationnel (2005)

Detailed reference viewed: 117 (7 ULg)
See detailModèles de risque crédit
Plunus, Séverine ULg

in Chapelle; Hübner, Georges; Peters, Jean-Philippe (Eds.) Le risque opérationnel (2005)

Detailed reference viewed: 66 (9 ULg)