Pierre Clauss

Société Générale

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

Boulevard Francois Mitterrand

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

6

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3,486

SSRN CITATIONS
Rank 36,250

SSRN RANKINGS

Top 36,250

in Total Papers Citations

3

CROSSREF CITATIONS

13

Scholarly Papers (6)

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
Société Générale, Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,413 (5,374)
Citation 10

Abstract:

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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
Société Générale
Downloads 364 (82,543)
Citation 2

Abstract:

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

Random Matrix Theory Applied to Correlations in Operational Risk

Number of pages: 28 Posted: 30 Mar 2015
Société Générale, Société Générale, Societe Generale, Societe Generale and Société Générale
Downloads 257 (120,167)

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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
Société Générale, Société Générale, Societe Generale, Societe Generale and Société Générale
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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
Société Générale
Downloads 230 (135,086)

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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
Société Générale
Downloads 158 (190,242)

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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
Société Générale, Société Générale, Société Générale, Societe Generale and Societe Generale
Downloads 64 (350,972)

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