Vincent Lehérissé

Bank of the West – BNP Paribas Group

Quantitative analyst

San Francisco, CA 94108

United States

SCHOLARLY PAPERS

3

DOWNLOADS

243

CITATIONS

0

Scholarly Papers (3)

1.

Quantile Distance Estimation for Operational Risk: A Practical Application

Journal of Operational Risk Volume 8/Number 2, Summer 2013 (73–102),
Number of pages: 30 Posted: 23 May 2014
Vincent Lehérissé and Alexis Renaudin
Bank of the West – BNP Paribas Group and Aon UK Ltd
Downloads 84 (176,357)

Abstract:

Operational risk; Loss Distribution Approach; Quantile Distance; Maximum Likelihood Estimation; Generalized Method of Moments; Lognormal distribution; Goodness-of-fit tests.

2.

Goodness-of-Fit Tests and Selection Methods for Operational Risk

Journal of Operational Risk 9(3), 21-50
Number of pages: 30 Posted: 23 May 2014 Last Revised: 28 Mar 2015
Sophie Lavaud and Vincent Lehérissé
Societe Generale and Bank of the West – BNP Paribas Group
Downloads 53 (201,240)

Abstract:

Operational risk; Loss Distribution Approach; Goodness-of-fit tests; Schwarz Bayesian Criterion; violation ratio; Lognormal distribution; Truncated data

3.

Goodness-Of-Fit Tests and Selection Methods for Operational Risk

Journal of Operational Risk, Vol. 9, No. 3, 2014
Number of pages: 30 Posted: 09 Jun 2016
Sophie Lavaud and Vincent Lehérissé
Crédit Lyonnais - Groupe de Recherche Opérationnelle and Bank of the West – BNP Paribas Group
Downloads 0 (544,096)
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Abstract:

Goodness-Of-Fit Tests, AMA, LDA