Loïc Brin

Société Générale

Loïc Brin worked in the risk modeling team of Société Générale and is now part of the General Inspection of the same bank (strategic audit and consulting assignments related to all Group activities in France and abroad on behalf of Societe Générale Top Management). He graduated from HEC Paris, ENSAE ParisTech as a statistician and economist, Paris 7 with a Master of Research in stochastic calculus (ex-DEA Laure Élie) and from the Institute of French Actuaries. His current research projects are in the area of applications of random matrix theory in risk measurement.

Articles by Loïc Brin

Original research

The benefit of using random matrix theory to fit high-dimensional t-copulas

This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling.

02 Nov 2016

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