re : suggestion : implementing var based on non - normal log - returns simulations
vince , sorry , the files from that directory get deleted periodically . i
attached this file here .
rabi did some analysis related to implementation of correlated non - normally
( rtdm - distributed )
variables . let ' s discuss later ?
tanya .
vince j kaminski
12 / 22 / 2000 05 : 58 pm
to : tanya tamarchenko / hou / ect @ ect
cc :
subject : re : suggestion : implementing var based on non - normal log - returns
simulations
tanya ,
i could not locate the file .
vince
tanya tamarchenko
12 / 07 / 2000 01 : 17 pm
to : vince j kaminski / hou / ect @ ect , rabi de / na / enron @ enron , jaesoo
lew / na / enron @ enron
cc :
subject : re : suggestion : implementing var based on non - normal log - returns
simulations
everybody ,
we were talking for a while about using non - normal distributions in the
monte - carlo simulations in our var model .
i put together some suggestion regarding this . the text is under
o : \ _ dropbox \ tanya \ non _ normal _ logs . doc
look through this 3 page document , and let me know what you think , please .
tanya
re : suggestion : implementing var based on non - normal log - returns
simulations
vince , sorry , the files from that directory get deleted periodically . i
attached this file here .
rabi did some analysis related to implementation of correlated non - normally
( rtdm - distributed )
variables . let ' s discuss later ?
tanya .
vince j kaminski
12 / 22 / 2000 05 : 58 pm
to : tanya tamarchenko / hou / ect @ ect
cc :
subject : re : suggestion : implementing var based on non - normal log - returns
simulations
tanya ,
i could not locate the file .
vince
tanya tamarchenko
12 / 07 / 2000 01 : 17 pm
to : vince j kaminski / hou / ect @ ect , rabi de / na / enron @ enron , jaesoo
lew / na / enron @ enron
cc :
subject : re : suggestion : implementing var based on non - normal log - returns
simulations
everybody ,
we were talking for a while about using non - normal distributions in the
monte - carlo simulations in our var model .
i put together some suggestion regarding this . the text is under
o : \ _ dropbox \ tanya \ non _ normal _ logs . doc
look through this 3 page document , and let me know what you think , please .
tanya