Xiaoping Zhou

Citizens Financial Group

PhD

28 State St

Boston, MA 02109

United States

State University of New York (SUNY) - Department of Applied Mathematics and Statistics

Stony Brook University

Stony Brook, NY 11794

United States

SCHOLARLY PAPERS

2

DOWNLOADS

183

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Bayesian Estimation of Truncated Data with Applications to Operational Risk Measurement

Quantitative Finance, November 2012
Number of pages: 39 Posted: 12 May 2014 Last Revised: 13 May 2014
Citizens Financial Group, University of Bergamo, EDHEC Business School and State University of New York (SUNY) - Department of Applied Mathematics and Statistics
Downloads 143 (221,533)

Abstract:

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Bayesian estimation, Operational risk, Truncated data, Jeffreys’ prior

2.

Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance

Number of pages: 38 Posted: 11 May 2014
Citizens Financial Group, IBM Research, EDHEC Business School and Texas Tech University
Downloads 40 (460,614)

Abstract:

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Smooth monotone covariance, Regularization, Elliptical distributions

Other Papers (1)

Total Downloads: 148
1.

On Stability of Operational Risk Estimates by LDA: From Causes to Approaches

Number of pages: 50 Posted: 30 Aug 2014 Last Revised: 21 Feb 2017
Xiaoping Zhou, Antonina Durfee and Frank J. Fabozzi
Citizens Financial Group, Citizens Financial Group and EDHEC Business School
Downloads 148 (172,347)

Abstract:

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operational risk, capital modeling, stability of estimates, robust estimation, right-truncated distributions, bias corrected capital estimators, maximum likelihood estimation, quantile-distance estimators