Max Li
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 Sep30 awarded Explainer Jan30 awarded Necromancer Jan29 awarded Yearling Jan20 awarded Commentator Jan20 comment Generate correlated random variables from Normal and Gamma distributions from these 3 steps, they are correlated with the desired correlation matrix after the 2nd step, but not after the final 3rd step. correct me if I'm wrong Jan16 comment Generate correlated random variables from Normal and Gamma distributions can you elaborate on "and then generate the random variates"? Do you generate k normals and m gammas and the put it into a copula? Jan13 comment Generate correlated random variables from Normal and Gamma distributions Assume that this mixture of distribution is given and I can't escape into log-normal and to some extent tolerant towards negative values. Simulating into positive quadrant with given covariance is also interesting, thanks for this! Jan10 asked Generate correlated random variables from Normal and Gamma distributions Mar1 answered How to fit probability density function from sample moments? Feb8 comment How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? @AdAbsurdum True, for multivariate case it doesn't work Feb7 revised How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? corrected lognormal distribution params Feb7 answered How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? Feb7 awarded Editor Feb7 revised How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? put the formula into TeX format Feb7 suggested approved edit on How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? Feb7 comment Where can I find data on the interbank lending market? @JoshuaUlrich If you think that my question is out of scope, feel free to close it, I actually thought it might be on the edge. No, I didn't contact anyone, I thought to try at first to find freely downloadable data Feb7 comment Where can I find data on the interbank lending market? @JoshuaUlrich I've read the topic you mentioned before posting my question. I'm actually asking for a very specific data (lendings bank-to-bank), I didn't find it in neither that topic, nor through google, nor in papers). Feb7 awarded Student Feb6 asked Where can I find data on the interbank lending market? Feb4 comment Maximization of CARA utility function: unique solution with an unbounded parameter? Of course the exact solution depends on the pdf assumption, but if we assume that pdf is continuous, then utility function will be also continuous. Then we can use an analogue of extreme value theorem (continuous, bounded from above and closed from right), which states that a maximum does exist.