Standard Bank Group
Leendert Haasbroek is risk-model subject-matter expert and Executive within the Group Model Development & Management function at the Standard Bank Group based in Johannesburg, South Africa. His past and present experience covers the model development, validation and maintenance related to regulatory capital, economic capital, and expected loss models within credit risk, operational risk and market risk, as well as financial-derivative valuation models. He holds a Ph.D. in Physics.
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.