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Dec 21, 2022 at 17:39 vote accept Jesús A. Piñera
Dec 21, 2022 at 17:39 answer added Jesús A. Piñera timeline score: 0
Apr 29, 2021 at 21:55 comment added Jesús A. Piñera I am trying to simulate loss distributions for credit portfolios of different size. Each portfolio $j$ has $n_j$ credits, and each credit has an inner correlation (inside the portfolio) and outer correlation (with the rest of the portfolios). The final goal is to simulate the loss distributions with given inner and outer correlations. Hence, generate r.v.'s with such structure.
Apr 25, 2021 at 13:37 comment added user225256 This would be easier to answer with more description of the variables. Maybe the groups are teams and you’re looking at the correlation of offensive and defensive contributions? Right now I just see a jumble of subscripts and superscripts.
Mar 16, 2021 at 19:44 comment added g g Yes this will most likely not work and you will have to deal with positive definiteness as well. You should search for "hierarchical copulas" there is quite a literature on this topic.
Mar 16, 2021 at 19:08 history asked Jesús A. Piñera CC BY-SA 4.0