Pierre Georges

Credit Lyonnais Asset Management

75002 Paris

France

SCHOLARLY PAPERS

2

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4,028

SSRN CITATIONS
Rank 17,123

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Top 17,123

in Total Papers Citations

2

CROSSREF CITATIONS

52

Scholarly Papers (2)

1.

Loss Distribution Approach for Operational Risk

Number of pages: 43 Posted: 26 Nov 2007
Antoine Frachot, Pierre Georges and Thierry Roncalli
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Credit Lyonnais Asset Management and Amundi Asset Management
Downloads 3,447 (3,166)
Citation 70

Abstract:

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Operational risk, aggregated loss, compound distribution, loss severity, loss frequency, Panjer algorithm, Capital-at-Risk, economic capital allocation, order statistics, LDA, IMA, RPI, copulas.

2.

Multivariate Survival Modelling: A Unified Approach with Copulas

Number of pages: 72 Posted: 26 Nov 2007
Credit Lyonnais Asset Management, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Amundi Asset Management
Downloads 581 (49,474)
Citation 28

Abstract:

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Survival copula, frailty model, ageing concepts, competing risks, failure time, order statistics, prepayment, credit risk measure, default mode, correlated defaults, risk-bucket capital charge, default digital put, credit default swap, first-to-default