Sophie Lavaud

Societe Generale

52 Place de l'Ellipse

La Défense, 92000

France

SCHOLARLY PAPERS

4

DOWNLOADS

463

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (4)

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 258 (123,869)

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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

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 140 (216,893)

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

3.

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 (361,492)

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

4.

Tail Dependence in Small Samples: From Theory to Practice

Journal of Operational Risk, Vol. 13, No. 1, 2018
Number of pages: 36 Posted: 27 Mar 2018
Sophie Lavaud
Societe Generale
Downloads 1 (681,074)
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extreme events, dependence structures, tail dependence, OpRisk application, goodness-of-fit, copulas.