Frequently Asked Questions In Quantitative Finance

234 Frequently Asked Questions In Quantitative Finance

Mean

ea+

1

2 b

2

.

Variance

e^2 a+b

2

(eb

2

−1).

Poisson∗ The random variables take non-negative integer

values only. The distribution has one parameter:a>0.

Its probability density function is given by

e−aax

x!

, x=0, 1, 2, 3,....

This distribution is used in credit risk modeling, repre-

senting the number of credit events in a given time.

Mean

a.

Poisson

0

0.05

0.1

0.15

0.2

0.25

0.3

01234567

a = 2