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by beata
January 4th, 2007, 2:31 pm
Forum: Student Forum
Topic: minimum sample size Binomial
Replies: 4
Views: 82648

minimum sample size Binomial

<t>sorry Traden4Alpha I did not notice your question: What do you mean by "representative number of successes"? I should ask my question probably a bit differently: if we take a sample of size n and there are no errors in this sample, which n should I choose in order to say with the 95% certainty th...
by beata
January 4th, 2007, 11:55 am
Forum: Student Forum
Topic: minimum sample size Binomial
Replies: 4
Views: 82648

minimum sample size Binomial

and if I say that I accept some level of descrepancy (mainly I say 95% is good enough), can I then find minimum n?
by beata
January 4th, 2007, 7:49 am
Forum: Student Forum
Topic: minimum sample size Binomial
Replies: 4
Views: 82648

minimum sample size Binomial

<t>Hi,Can one remind me on basic statistics:I was wondering how to determine n (n is the minimum sample size) for a population with 10 000 observations. I know that the observations are independent. Confidence level is 95%. Observations are Binomially distributed.I want to be 95% confident that my s...
by beata
June 27th, 2006, 1:16 pm
Forum: Student Forum
Topic: x, y normally distributed, x*y ? distributed
Replies: 3
Views: 100312

x, y normally distributed, x*y ? distributed

thnx Panang!Though some details:is mod(z) modulus(z)?and what if muX and muY are not equal to zero?
by beata
June 27th, 2006, 12:17 pm
Forum: Student Forum
Topic: x, y normally distributed, x*y ? distributed
Replies: 3
Views: 100312

x, y normally distributed, x*y ? distributed

hi guys,hoe can help me to remember some basic statistics?if x is ~N(0,sigma1), y is ~N(0,sigma2),which distribution does x*y have?
by beata
June 27th, 2006, 12:17 pm
Forum: Student Forum
Topic: x, y normally distributed, x*y ? distributed
Replies: 0
Views: 100107

x, y normally distributed, x*y ? distributed

hi guys,hoe can help me to remember some basic statistics?if x is ~N(0,sigma1), y is ~N(0,sigma2),which distribution does x*y have?
by beata
July 19th, 2004, 7:07 pm
Forum: Student Forum
Topic: Parameter estimation of multiple Geometric BM with Maximum Likelihood
Replies: 3
Views: 181526

Parameter estimation of multiple Geometric BM with Maximum Likelihood

Owen,this paper is not available for free on the Internet.I guess I will have to look for something else.But thanks anyway
by beata
July 19th, 2004, 4:54 pm
Forum: Student Forum
Topic: Parameter estimation of multiple Geometric BM with Maximum Likelihood
Replies: 3
Views: 181526

Parameter estimation of multiple Geometric BM with Maximum Likelihood

<t>say we have N firms and their firm value processes are given by correlated Geometric Brownian motionsd V_i_t = V_i_t * (/miu_i) * dt + V_i_t * sum_ j=1:M [/sigma_ij*dW_ j_t ], for i=1:N.I am looking for some REFERENSE which explains how to calculate the parameters of the correlated Geometric Brow...
by beata
June 11th, 2004, 9:04 pm
Forum: Student Forum
Topic: Frechet
Replies: 3
Views: 187435

Frechet

<t>well, maybe the extreme value distribution which is in Matlab, is indeed the generalised Pareto distribution, but written in different way that I have seen in literature. Normally one has a shape parameter /ksi which controles the shape of the distribution. I wonder then what in the parameter /ks...
by beata
June 11th, 2004, 11:21 am
Forum: Student Forum
Topic: Frechet
Replies: 3
Views: 187435

Frechet

<t>I would think so too. but when you read a description of which extreme value distribution is available in Matlab, then I guess you would probably think differently.I know, that the generalised Pareto distribution includes Weibull, Gumbel and Frechet, but the one available in Matlab (extreme value...
by beata
June 11th, 2004, 6:51 am
Forum: Student Forum
Topic: Frechet
Replies: 3
Views: 187435

Frechet

<t>I want to fit a Frechet distribution to the tail of the empirical loss distribution using Matlab. However Matlab does not have Frechet distribution. The more general distribution which includes also Frechet is the generalized Pareto distribution, but Matlab does not have this one eather. It has o...
by beata
June 8th, 2004, 5:31 pm
Forum: Student Forum
Topic: silulating credit loss distribution
Replies: 4
Views: 189417

silulating credit loss distribution

<t>If I have the asset correlation matrix between industry groups, is this the asset correlation matrix, which I can use in my model?don't I have to adjust these entries in the correlation matrix, because the returns of the obligors are not for 100 percent explained by the industy returns?I think pa...
by beata
May 25th, 2004, 7:54 am
Forum: Student Forum
Topic: silulating credit loss distribution
Replies: 4
Views: 189417

silulating credit loss distribution

Mike,I'm very grateful for your explanations!I indeed now see, what is really happening, when I try to generate standard normal asset values. It is not fun to work with something when you don't understant things in full, even if you get sensible results.many thanks
by beata
May 24th, 2004, 8:06 am
Forum: Student Forum
Topic: silulating credit loss distribution
Replies: 4
Views: 189417

silulating credit loss distribution

<t>I want to simulate loss distribution for portfolio of loans.Why? I want to calculate in the end economic capital for, say 99,99% confidence level.I want to fit some specific distribution into the tail region (first I want to try beta distribution, but I already know, that this will give underesti...
by beata
May 19th, 2004, 7:55 am
Forum: Student Forum
Topic: difference in (credit portfolio) loss distribution and P&L (for market risk)
Replies: 7
Views: 189301

difference in (credit portfolio) loss distribution and P&L (for market risk)

<t>I have found out that in the method I consider, they indeed set profits equal to zero.And I have figured out in which units the loss is measured:thus, if one follows the method for determining the loss distribution through first determining EL and UL and then assuming which distribution the portf...
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