Which distribution?
It's often hard to initially select how to represent a loss distribution. A visual comparison between different fitted distributions is usually a good place to start.
The norm
, skewnorm
, t
, and gaussian_kde
distributions are available. Their fitted estimates of the available investment bank portfolio losses
from 2007 - 2008 are displayed in the plt.figure(1)
object, which you can show.
Create a new figure and plot a histogram of portfolio losses
using plt.hist(losses, bins = 50, density = True)
. Using this histogram for comparison, which distribution(s) in plt.figure(1)
fit losses
best?
This exercise is part of the course
Quantitative Risk Management in Python
Hands-on interactive exercise
Turn theory into action with one of our interactive exercises
