HEC MONTRÉAL
HEC MONTRÉAL
HEC MONTRÉAL
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probabilité<br />
1<br />
0.9<br />
0.8<br />
0.7<br />
0.6<br />
0.5<br />
0.4<br />
0.3<br />
0.2<br />
0.1<br />
Distribution des pertes du portefeuille, NIG, NIG stoch.<br />
NIG<br />
NIG stoch.<br />
0<br />
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1<br />
% des pertes<br />
Fig. 5.16: Distribution des pertes (NIG, NIG-stoch.).<br />
Fig. 5.17: Temps de simulation des modèles en secondes (Matlab 6.5).<br />
90