Pierre Clauss
Société Générale
Pierre Clauss is Head of Operational Risk Modeling at Société Générale. Pierre has been in the financial industry for 11 years. He started in 2004 as a Quantitative Analyst in asset management companies (HSBC, Natixis and Société Générale). In 2008, he joined ENSAI as an Associate Professor to manage the chair "Risk Management and Financial Engineering". Before joining the Risk Department at Société Générale in 2014, he was Chief Economist at AFIC for the French Private Equity industry. He writes academic papers on portfolio construction, risk measurement and published a book on Portfolio Management (Dunod, 2011). He graduated from the ENSAI in applied Statistics and holds a Masters degree in Statistics-Econometrics from the University of Rennes. He teaches portfolio management and risk modeling at ENSAI and the University of Paris-Dauphine. He is affiliated to EPEE - University of Évry.
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Articles by Pierre Clauss
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.