Santiago Carrillo Menendez
Madrid y alrededores
3 mil seguidores
Más de 500 contactos
Actividad
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📸 El pasado jueves 21 de noviembre la directora general del Fundación Parque Científico de Madrid, Marta Del Castillo Vázquez, ha recibido a una…
📸 El pasado jueves 21 de noviembre la directora general del Fundación Parque Científico de Madrid, Marta Del Castillo Vázquez, ha recibido a una…
Recomendado por Santiago Carrillo Menendez
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A review of "Causal Factor Investing" has appeared in Quantitative Finance. You can read it for free here: https://lnkd.in/d-BHFzJD
A review of "Causal Factor Investing" has appeared in Quantitative Finance. You can read it for free here: https://lnkd.in/d-BHFzJD
Recomendado por Santiago Carrillo Menendez
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Factor investing is in crisis, due to backtest overfitting and model misspecification. While the first problem is well understood, the second problem…
Factor investing is in crisis, due to backtest overfitting and model misspecification. While the first problem is well understood, the second problem…
Recomendado por Santiago Carrillo Menendez
Publicaciones
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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
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Reconstructing heavy tailed distributions by splicing with maximum entropy in the mean
The journal of Operational Risk
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Processus de Markov associés à une forme de Dirichlet non-symétrique
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Computational Tools for the Analysis of Market Risk
Computational Economics 21
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El entorno AMA: los datos y su tratamiento.
La gestión del riesgo operacional. De la teoría a su aplicación
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Espaces de Dirichlet réguliers et processus de Markov
Comptes Rendus de l’Académie des Sciences de Paris
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Le semigroupe associé à un opérateur accrétif.
Comptes Rendus de l’Académie des Sciences de Paris
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Modelos Multifactoriales en Riesgo de Crédito
Revista de economía financiera
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Nuevos retos en la medición del riesgo de mercado
Perspectivas del sistema financiero.
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Robust quantification of the exposure to operational risk, Bringing economic sense to economic capital.
Computers and Operations Research
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Stochastic specificity in neural interaction
Lecture Notes in Computational Science
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Sur la régularité des potentiels des espaces de Dirichlet
Comptes Rendus de l’Académie des Sciences de Paris
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Valoración de opciones asiáticas y doble barrera
Volume 1 del seminario MEFF-UAM de matemática financiera
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Más actividad de Santiago
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Cosy Saturday afternoon reading the proof copy of my debut novel for kids aged 7-11, coming out on November 15th in English and in French 🤗😃 To…
Cosy Saturday afternoon reading the proof copy of my debut novel for kids aged 7-11, coming out on November 15th in English and in French 🤗😃 To…
Recomendado por Santiago Carrillo Menendez
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El pasado viernes estuve en un workshop de Cristina Santamarina con mi compi Philip Sauerwald Gil sobre la mejora de la productividad utilizando…
El pasado viernes estuve en un workshop de Cristina Santamarina con mi compi Philip Sauerwald Gil sobre la mejora de la productividad utilizando…
Recomendado por Santiago Carrillo Menendez
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I was delighted to reconnect with my longtime colleague and friend Saverio Braccini , a brilliant physicist with whom I shared many years at CERN and…
I was delighted to reconnect with my longtime colleague and friend Saverio Braccini , a brilliant physicist with whom I shared many years at CERN and…
Recomendado por Santiago Carrillo Menendez
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El 20.Sep, en siete días arranca el Master de IA de Tajamar Tech Llevamos trabajando desde Tajamar 10 meses con muchísima ilusión y esfuerzo para…
El 20.Sep, en siete días arranca el Master de IA de Tajamar Tech Llevamos trabajando desde Tajamar 10 meses con muchísima ilusión y esfuerzo para…
Recomendado por Santiago Carrillo Menendez
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Just published. Lecture Notes of my summer course delivered at the Universidad Federal de Rio de Janeiro in the summer 1989. Thank you…
Just published. Lecture Notes of my summer course delivered at the Universidad Federal de Rio de Janeiro in the summer 1989. Thank you…
Recomendado por Santiago Carrillo Menendez
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The first RiskLab was created in 1994 at ETH Zürich in Switzerland. In 1996, another one was created independently at the University of Toronto in…
The first RiskLab was created in 1994 at ETH Zürich in Switzerland. In 1996, another one was created independently at the University of Toronto in…
Recomendado por Santiago Carrillo Menendez
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A great new service for all our clients around the globle.
A great new service for all our clients around the globle.
Recomendado por Santiago Carrillo Menendez
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I'm excited to share some great news: Fundación Rafael del Pino has granted me a fellowship for my upcoming Master's program in Mathematics and…
I'm excited to share some great news: Fundación Rafael del Pino has granted me a fellowship for my upcoming Master's program in Mathematics and…
Recomendado por Santiago Carrillo Menendez
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On July 5, 2024, I will give the following seminar at ETH Zurich. Title: "Why Has Factor Investing Failed?: The Role of Specification…
On July 5, 2024, I will give the following seminar at ETH Zurich. Title: "Why Has Factor Investing Failed?: The Role of Specification…
Recomendado por Santiago Carrillo Menendez