Finance

Simulation and credit risk, worked out in the browser

Monte Carlo Without a Covariance Matrix

Correlated stock returns, drawn one normal per day of history instead of one per asset

A Flat Distribution of Defaults

A credit basket where every number of defaults — none, one, all of them — is equally likely

Quantiles

The tallest person in the room is not the tallest person — with n data, the largest never sits at 100% and the smallest never sits at 0%