François Crénin
Société Générale
François Crénin is Quantitative project manager of Operational Risk Modeling at Société Générale. François joined the Operational risk modeling team in 2013, after several experiences in the banking industry and consulting. He has been working on various statistical issues of the Operational risk measurement with a focus on dependence structure. He graduated from ESSEC Business School, ENSAE as a Statistician and Economist and from the Institute of French Actuaries.
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Articles by François Crénin
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.