Shifting and Scaling Standard Normal

Laylah · June 29th, 2005, 3:01 pm

I’m trying to create a simulation for the value of a portfolio of loan assets. Can anyone suggest a good way to scale and shift a N(0,1) so that I can use the new distribution to simulate the asset values?

farmer · June 29th, 2005, 3:51 pm

I think your first guess will be the right answer.

NamelessWonder · June 29th, 2005, 4:12 pm

Are you looking at generating N(m,d^2) from N(0,1)? Surely thats dN(0,1)+m

SPAAGG · June 29th, 2005, 5:35 pm

well, if X ~ N(0,1), then Y = a + b * X is N(a, b^2)I would use an other type of distribution for a loan portfolio. Smothing skewed. Check in the literaturebye