François Crénin

Société Générale

52 Place de l'Ellipse

La Défense, 92000

France

SCHOLARLY PAPERS

3

DOWNLOADS

834

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (3)

1.

Truncated Weibull Distribution Functions and Moments

Number of pages: 11 Posted: 15 Nov 2015
François Crénin
Société Générale
Downloads 512 (56,734)
Citation 1

Abstract:

Loading...

truncated Weibull distribution, doubly-truncated Weibull moments, left-truncated Weibull moments, right-truncated Weibull moments, censored Weibull sample

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 (123,833)

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

3.

Unsupervised Learning Applied to the Grouped t-Copula or the Modeling of Real-Life Dependence

Number of pages: 28 Posted: 17 Jan 2018
Loïc Brin, Pierre Clauss, François Crénin, Sophie Lavaud and Jiali Xu
Société Générale, Société Générale, Société Générale, Societe Generale and Societe Generale
Downloads 64 (361,400)

Abstract:

Loading...

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