Peter Mitic

Santander Bank

Ciudad Financiera

Edificio Amazonia

Boadilla del Monte, 28660

Spain

Dept. of Computer Science, UCL

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

15

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Systemic Shock Propagation in a Complex System

Number of pages: 27 Posted: 28 Jan 2019
Peter Mitic
Santander Bank
Downloads 12 (592,336)
Citation 1

Abstract:

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Complexity, Complex System, Systemic Risk, Shock, Simulation, Mathematica, Recovery, Contagion, Contagion Index

2.

Improved Gaussian Process Acquisition for Targeted Bayesian Optimization

Number of pages: 17 Posted: 11 Feb 2020
Peter Mitic
Santander Bank
Downloads 2 (663,721)

Abstract:

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Acquisition function, Bayesian Optimization, Gaussian Process, Loss Distribution, Monte Carlo

3.

Shapley Allocation, Diversification and Services in Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 15 Posted: 02 Mar 2018
Peter Mitic and Bertrand Hassani
Santander Bank and Université Paris I Panthéon-Sorbonne
Downloads 1 (675,705)
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Abstract:

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capital value, diversification, game theory, operational risk, service, Shapley.

4.

Improved Goodness-of-Fit Measures

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 50 Posted: 30 Jun 2016
Peter Mitic
Santander Bank
Downloads 0 (692,841)
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Abstract:

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goodness-of-fit, transformed normal, cumulative distribution, significance level topology