Wednesday, January 20, 2021

Brownian Motion:

Brownian motion is the macroscopic picture emerging from a particle moving randomly in d-dimensional space. On the microscopic level, at any time step, the particle receives a random displacement, caused for example by other particles hitting it or by an external force.

A geometric Brownian motion is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion.





No comments:

R3 chase - Pursuit

BCR Approach for Regulatory Reporting (PD in Low-Default Portfolios)

Attached : Excel workbook with full BCR implementation (macro-driven, quarterly defaults, confidence intervals, and model diagnostics) https...