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

<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...

- January 4th, 2007, 11:55 am
- Forum: Student Forum
- Topic: minimum sample size Binomial
- Replies:
**4** - Views:
**82648**

and if I say that I accept some level of descrepancy (mainly I say 95% is good enough), can I then find minimum n?

- January 4th, 2007, 7:49 am
- Forum: Student Forum
- Topic: minimum sample size Binomial
- Replies:
**4** - Views:
**82648**

<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...

- June 27th, 2006, 1:16 pm
- Forum: Student Forum
- Topic: x, y normally distributed, x*y ? distributed
- Replies:
**3** - Views:
**100312**

thnx Panang!Though some details:is mod(z) modulus(z)?and what if muX and muY are not equal to zero?

- June 27th, 2006, 12:17 pm
- Forum: Student Forum
- Topic: x, y normally distributed, x*y ? distributed
- Replies:
**3** - Views:
**100312**

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?

- June 27th, 2006, 12:17 pm
- Forum: Student Forum
- Topic: x, y normally distributed, x*y ? distributed
- Replies:
**0** - Views:
**100107**

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?

- July 19th, 2004, 7:07 pm
- Forum: Student Forum
- Topic: Parameter estimation of multiple Geometric BM with Maximum Likelihood
- Replies:
**3** - Views:
**181526**

Owen,this paper is not available for free on the Internet.I guess I will have to look for something else.But thanks anyway

- July 19th, 2004, 4:54 pm
- Forum: Student Forum
- Topic: Parameter estimation of multiple Geometric BM with Maximum Likelihood
- Replies:
**3** - Views:
**181526**

<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...

- June 11th, 2004, 9:04 pm
- Forum: Student Forum
- Topic: Frechet
- Replies:
**3** - Views:
**187435**

<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...

- June 11th, 2004, 11:21 am
- Forum: Student Forum
- Topic: Frechet
- Replies:
**3** - Views:
**187435**

<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...

- June 11th, 2004, 6:51 am
- Forum: Student Forum
- Topic: Frechet
- Replies:
**3** - Views:
**187435**

<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...

- June 8th, 2004, 5:31 pm
- Forum: Student Forum
- Topic: silulating credit loss distribution
- Replies:
**4** - Views:
**189417**

<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...

- May 25th, 2004, 7:54 am
- Forum: Student Forum
- Topic: silulating credit loss distribution
- Replies:
**4** - Views:
**189417**

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

- May 24th, 2004, 8:06 am
- Forum: Student Forum
- Topic: silulating credit loss distribution
- Replies:
**4** - Views:
**189417**

<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...

- 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**

<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...

GZIP: On