359 reputation
26
bio website litvak.eu/pyfi
location
age
visits member for 2 years, 9 months
seen Sep 27 at 16:40

Sep
30
awarded  Explainer
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.