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PROBABILITY DISTRIBUTION - Coggle Diagram
PROBABILITY DISTRIBUTION
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NORMAL DISTRIBUTION
Characteristic
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parameter
Multivariate distribution: variance, mean, pair-wise correlations
Univariate distribution: variance, mean
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T-STUDENT
df >>, shape become curved-bell
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ROY'S SAFETY FIRST
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The higher SFR, the safer
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MONTE CARLO SIMULATION
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Definition
a technique based on the repeated generation of one or more risk factors that affect security values, in order to generate a distribution of security values
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