Eric Salomon

affiliation not provided to SSRN

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Scholarly Papers (1)

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The Correlation Problem in Operational Risk

OperationalRisk — Risk's Newsletter, 2004
Number of pages: 13 Posted: 26 Nov 2007
Antoine Frachot, Thierry Roncalli and Eric Salomon
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Amundi Asset Management and affiliation not provided to SSRN
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Abstract:

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Operational risk, LDA model, severity correlation, frequency correlation, aggregate loss correlation