Sophie Lavaud

Sciences Po - Sciences Po, Students

28 Rue des Saint-Peres

Paris, Paris 75006

France

SCHOLARLY PAPERS

5

DOWNLOADS

508

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (5)

Random Matrix Theory Applied to Correlations in Operational Risk

Number of pages: 28 Posted: 30 Mar 2015
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Societe Generale and Société Générale
Downloads 262 (146,498)

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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, Sciences Po - Sciences Po, Students, 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
Sciences Po - Sciences Po, Students and Bank of the West – BNP Paribas Group
Downloads 149 (245,372)

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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, Sciences Po - Sciences Po, Students and Societe Generale
Downloads 74 (394,272)

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

4.

What Make People More Likely to Take Personal Action for Climate Mitigation? Taking the Case of Energy Consumption in Europe

Number of pages: 20 Posted: 18 Feb 2021
Sophie Lavaud
Sciences Po - Sciences Po, Students
Downloads 22 (626,706)

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energy efficiency; climate change; public policy; social science

5.

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
Sciences Po - Sciences Po, Students
Downloads 1 (791,766)
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extreme events, dependence structures, tail dependence, OpRisk application, goodness-of-fit, copulas.