Standard Bank Group
Willem Pieters is a Quantitative Risk Analyst within the Group Model Development & Management function at the Standard Bank Group based in Johannesburg, South Africa. He focused on several projects in the Operational Risk Analytics team, which correlations for different aggregation periods was one of. Willem is a member on the Golden Key Honorary Society, he holds a M.Sc. degree in Quantitative Risk Management at the North-West University, South Africa.
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.