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Leonard Brie

Chappuis Halder & Cie. - Global Research & Analytics Department

United States

SCHOLARLY PAPERS

2

DOWNLOADS

930

TOTAL CITATIONS

4

Scholarly Papers (2)

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1.

Basel 2 IRB Risk Weight Functions: Demonstration & Analysis

Number of pages: 31 Posted: 17 Mar 2015
Benoit Genest and Leonard Brie
Chappuis Halder & Cie. - London Office and Chappuis Halder & Cie. - Global Research & Analytics Department
Downloads 674 (96,983)
Citation 2

Abstract:

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Basel II, EL, UL, LGD, PD, Merton’s Model, ASRF, Conditional PD, rho, Maturity, confidence level, PDF.

2.

Back-Testing of Expected Shortfall: Main Challenges and Methodologies

Number of pages: 42 Posted: 21 May 2018 Last Revised: 27 May 2018
Leonard Brie, Benoit Genest and Matthieu Arsac
Chappuis Halder & Cie. - Global Research & Analytics Department, Chappuis Halder & Cie. - London Office and Chappuis Halder & Cie. - Global Research & Analytics Department
Downloads 256 (301,349)
Citation 2

Abstract:

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Value-at-Risk, Expected Shortfall, Back-Testing, Basel III, FRTB, Risk Management