In 2005 I was interviewing for a job as Risk Manager with Genworth Financial. I was working a gig up in Armonk, NY so I hopped a car to the GNW office and met with Mark Griffin, at that point the Chief Risk Office (CRO) for GNW. After some small talk, Mark asked me the [...]
When I did a brief post three days ago I had no plans on writing two more posts on correlated random number generation. But I’ve gotten a couple of emails, a few comments, and some Twitter feedback. In response to my first post, Gappy, calls me out and says, “the way mensches do multivariate (log)normal [...]
So after yesterday’s post on Simple Simulation using Copulas I got a very nice email that basically begged the question, “Dude, why are you making this so hard?” The author pointed out that if what I really want is a Gaussian correlation structure for Gaussian distributions then I could simply use the mvrnorm() function from [...]
A friend of mine gave me a call last week and was wondering if I had a little R code that could illustrate how to do a Cholesky decomposition. He ultimately wanted to build a Monte Carlo model with correlated variables. I pointed him to a number of packages that do Cholesky decomp but then [...]
I’ve been a long time reader of the blog “Messy Matters” (which invokes terrible images now that I am potty training a toddler). The authors, Sharad Goel and Daniel Reeves are academics who work in the Microeconomics and Social Systems (get it, MESS?!?) lab funded by Yahoo!. (What does Strunk and [...]
There’s an interesting article in the WSJ this week about poultry farmers who grow for Pilgrim’s Pride (PPC). PPC is in bankruptcy and have canceled grower contracts with 400+ poultry growers. In poultry farming the farmers own the chicken houses and provide the labor but the poultry company (Pilgrim’s Pride, Tyson, Perdue, etc) own the [...]
Let me start by saying that I like Nassim Nicholas Taleb and Benoît Mandelbrot quite a lot. I don’t agree with them all the time, but that is generally true of people I like. I recall reading Mandelbrot’s book The Misbehavior of Markets: A Fractal View of Financial Turbulence some years ago and being struck [...]