Max Li

339 reputation

bio	website	litvak.eu/pyfi
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visits	member for	1 year, 3 months
	seen	Mar 21 at 21:02
stats	profile views	28

	339 reputation	bio	website	litvak.eu/pyfi	visits	member for	1 year, 3 months
25 badges		location			seen	Mar 21 at 21:02

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Jan 30	awarded	Necromancer
Jan 29	awarded	Yearling
Jan 20	awarded	Commentator
Jan 20	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
Jan 16	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?
Jan 13	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!
Jan 10	asked	Generate correlated random variables from Normal and Gamma distributions
Mar 1	answered	How to fit probability density function from sample moments?
Feb 8	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
Feb 7	revised	How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? corrected lognormal distribution params
Feb 7	answered	How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?
Feb 7	awarded	Editor
Feb 7	revised	How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? put the formula into TeX format
Feb 7	suggested	suggested edit on How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?
Feb 7	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
Feb 7	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).
Feb 7	awarded	Student
Feb 6	asked	Where can I find data on the interbank lending market?
Feb 4	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.
Feb 4	comment	Maximization of CARA utility function: unique solution with an unbounded parameter? @AlexeyKalmykov "you need a budget constraint here for a, otherwise your optimization problem makes no sense" - if $a>w_0$ you can think of it as if the consumer borrows $a-w_0$ at $r_f$ rate, i.e. it can make sense.