David Cressey

Société Générale

52 Place de l'Ellipse

La défense, 92000

France

SCHOLARLY PAPERS

1

DOWNLOADS

210

CITATIONS

0

Scholarly Papers (1)

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 210 (114,315)

Abstract:

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

Abstract:

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