Loïc Brin

Société Générale

SCHOLARLY PAPERS

2

DOWNLOADS

155

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Number of pages: 19 Posted: 19 Mar 2016 Last Revised: 22 Mar 2016
Jiali Xu and Loïc Brin
Societe Generale and Société Générale
Downloads 91 (294,613)

Abstract:

Loading...

Random Matrix Theory, Denoising technique, Student's t-copulas, Large Dimension, Risk Modeling, Operational Risk

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Journal of Operational Risk, Forthcoming
Number of pages: 21 Posted: 02 Nov 2016
Jiali Xu and Loïc Brin
Societe Generale and Société Générale
Downloads 0
  • Add to Cart

Abstract:

Loading...

random matrix theory (RMT), denoising technique, t-copulas, large dimension, risk modeling, operational risk

2.

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, Societe Generale and Societe Generale
Downloads 64 (358,064)

Abstract:

Loading...

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