Pierre Clauss

Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)

Boulevard Francois Mitterrand

F-91025 Evry Cedex

France

  • Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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3

CROSSREF CITATIONS

13

Scholarly Papers (6)

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1.

Risk Management Lessons from Madoff Fraud

Number of pages: 39 Posted: 18 Mar 2009 Last Revised: 08 Apr 2009
Pierre Clauss, Thierry Roncalli and Guillaume Weisang
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE), Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,730 (8,284)
Citation 11

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Madoff fraud, Ponzi scheme, operational risk, due diligence, supervision, hedge funds, bull spread strategy, split strike conversion

2.

Liquidity Risk Integration in Portfolio Choice: The Bid Efficient Frontier

Number of pages: 14 Posted: 22 Jan 2010 Last Revised: 27 May 2010
Pierre Clauss
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Downloads 398 (124,719)
Citation 2

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portfolio choice, market liquidity risk, mean-variance framework, bid prices

3.

Random Matrix Theory Applied to Correlations in Operational Risk

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Citation 4

Random Matrix Theory Applied to Correlations in Operational Risk

Number of pages: 28 Posted: 30 Mar 2015
François Crénin, David Cressey, Sophie Lavaud, Jiali Xu and Pierre Clauss
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Amundi Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Downloads 289 (175,355)

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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

Random Matrix Theory Applied to Correlations in Operational Risk

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 28 Posted: 02 Jul 2016
François Crénin, David Cressey, Sophie Lavaud, Jiali Xu and Pierre Clauss
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Amundi Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

4.

Hedge Funds Performance Ratios Adjusted to Market Liquidity Risk

Number of pages: 11 Posted: 31 Jan 2011
Pierre Clauss
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Downloads 254 (200,875)

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Market Liquidity Risk, Hedge Funds, Sharpe Ratio, Information Ratio, Kalman Filter, Momentum

5.

Hedge Funds and Leverage Estimation

Number of pages: 11 Posted: 17 Jul 2012 Last Revised: 26 Oct 2012
Pierre Clauss
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Downloads 179 (278,209)

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Hedge funds, Leverage, Regression style

6.

Unsupervised Learning Applied to the Grouped t-Copula or the Modeling of Real-Life Dependence

Number of pages: 28 Posted: 17 Jan 2018
Loïc Brin, Pierre Clauss, François Crénin, Sophie Lavaud and Jiali Xu
Société Générale, Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE), Société Générale, Sciences Po - Sciences Po, Students and Amundi Asset Management
Downloads 97 (446,234)

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grouped t-copula, statistical clustering, correlation and dependence measures, tail dependence, copula calibration