Santiago Carrillo Menendez

Santiago Carrillo Menendez

Madrid y alrededores
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Publicaciones

  • Closed-form approximations for operational value-at-risk

    Journal of Operational Risk

    In the loss distribution approach operational risk is modeled in terms of the distribution
    of sums of independent random losses. In this model the frequency count in the period of
    aggregation and the severities of the individual loss events are assumed to be independent
    as well. Operational VaR is defined as a high percentile of the aggregate loss distribution.
    In this work we present a sequence of closed-form expressions that provide very accurate
    approximations of this measure…

    In the loss distribution approach operational risk is modeled in terms of the distribution
    of sums of independent random losses. In this model the frequency count in the period of
    aggregation and the severities of the individual loss events are assumed to be independent
    as well. Operational VaR is defined as a high percentile of the aggregate loss distribution.
    In this work we present a sequence of closed-form expressions that provide very accurate
    approximations of this measure of operational risk. These approximations are obtained
    by truncation of a perturbative series expansion of the percentile of the aggregate yearly
    loss at different orders. The expansion is accurate when the severities of the individual
    losses are heavy-tailed, which is the case in practice. The two lowest order terms in the
    perturbative series are similar to the single-loss approximation and to the correction by
    the mean, respectively. Including higher order terms leads to significant improvements
    in the quality of the approximation. Besides their accuracy and low computational cost,
    these closed-form expressions do not require that the moments of the severity distribution,
    including the mean, are finite.

    Otros autores
  • Closed-form approximations for operational value-at-risk

    Journal of Operational Risk

  • Reconstructing heavy tailed distributions by splicing with maximum entropy in the mean

    The journal of Operational Risk

  • Processus de Markov associés à une forme de Dirichlet non-symétrique

  • Computational Tools for the Analysis of Market Risk

    Computational Economics 21

  • El entorno AMA: los datos y su tratamiento.

    La gestión del riesgo operacional. De la teoría a su aplicación

  • Espaces de Dirichlet réguliers et processus de Markov

    Comptes Rendus de l’Académie des Sciences de Paris

  • Le semigroupe associé à un opérateur accrétif.

    Comptes Rendus de l’Académie des Sciences de Paris

  • Modelos Multifactoriales en Riesgo de Crédito

    Revista de economía financiera

  • Nuevos retos en la medición del riesgo de mercado

    Perspectivas del sistema financiero.

  • Stochastic specificity in neural interaction

    Lecture Notes in Computational Science

  • Sur la régularité des potentiels des espaces de Dirichlet

    Comptes Rendus de l’Académie des Sciences de Paris

  • Valoración de opciones asiáticas y doble barrera

    Volume 1 del seminario MEFF-UAM de matemática financiera

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