Nicolas Baud

affiliation not provided to SSRN

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 32,956

in Total Papers Downloads

1,485

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

An Analysis Framework for Bank Capital Allocation

Number of pages: 21 Posted: 21 Apr 2008 Last Revised: 01 Apr 2009
Amundi Asset Management, affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 607 (46,802)

Abstract:

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Capital allocation, top-down, bottom-up, factor model, optimisation problem, Lagrange multipliers

2.

Internal Data, External Data and Consortium Data - How to Mix Them for Measuring Operational Risk

Number of pages: 18 Posted: 26 Nov 2007
Nicolas Baud, Antoine Frachot and Thierry Roncalli
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Amundi Asset Management
Downloads 534 (55,076)
Citation 9

Abstract:

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Operational risk, internal data, external data, consortium data, threshold.

3.

How to Avoid Over-Estimating Capital Charge for Operational Risk?

OperationalRisk - Risk's Newsletter, February 2003
Number of pages: 10 Posted: 27 Nov 2007
Nicolas Baud, Antoine Frachot and Thierry Roncalli
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Amundi Asset Management
Downloads 344 (93,295)
Citation 2

Abstract:

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Operational risk, capital charge, threshold, conditional distribution, maximum likelihood