Chapter 1: Distributions Commonly Used in Credit and Counterparty Risk Modeling

The following sections are included:

• Common Distributions Families

• Discrete Distributions

  • Bernoulli Distribution

  • Binomial Distribution

  • Geometric Distribution

  • Negative Binomial Distribution

  • Poisson Distribution

• Continuous Distributions

  • Uniform Distribution

  • Normal Distribution

  • Log-Normal Distribution

  • Exponential Distribution

  • Gamma Distribution

  • Beta Distribution

• Indicator Function

• Multivariate Distributions

  • Multivariate Gaussian Distribution