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Empirical loss distribution
 
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Ened
Posted: 10 August 2008 02:53 AM   [ Ignore ]  
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On slide 35 you write that “Monte Carlo simulation can fill in the gap”, but how can we run a MC simulation without a model? That is the essence behind MC in my opinion.

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David Harper, CFA, FRM, CIPM
Posted: 10 August 2008 09:28 AM   [ Ignore ]   [ # 1 ]  
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Ened,

It’s merely a summary extract from Linda Allen 5.2.2.1; i.e., Monte Carlo simulation can “fill in the gaps” where empirical distributions are not useful due to lack of data.

David

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