# Hieu Nguyen Phi, FRM

How I enjoy my life

# Machine Learning Notes

## Linear Discrimination Analysis

According to Bayesâ€™ Theorem, the posterior distribution that a sample \(x\) belong to class \(l\) is given by

## Exploratory Data Analysis in Credit Risk Modeling

Exploratory data analysis is a means for gaining first insights and getting familiar with your data. Many databases are very complex. Exploring all data at hand typically requires dealing with masses of data, or big data. Looking at observations of variables object by object is therefore usually too time con- suming, too costly, or simply not possible. Therefore we aggregate the information behind each variable and compute some summary or descriptive statistics and provide summarizing charts. We…

## Higher Order Moments Using the Survival Function

Students in a first-year probability course learn the concept of the moment of a random variable. The moments are related to various aspects of a probability distribution. In this context, the formula for the mean or the first moment of a non-negative continuous random variable is often shown in terms of its c.d.f. (or the survival function). However, higher order moments are also important, for example, to study the variance or the skewness of a distribution. In this note, we consider the \(r\)…

## Time series analysis - An Overview

Time series is one of the most common types of data in financial world. Any risk managers should be aware of how to analyze a time series. Time series models are those using their own information to estimate themselves. Meanwhile, structural models are those using relationships between variables to explain movements or changes in one particular variable. This post will overview the analysis of a time series.

## Understand Volatility and Copula Correlation in Risk Management context

Volatility and Copula Correlation are the most important parameters in finance, especially risk management area because of their existence in almost controversial issues today such as risk measurement, wrong-way risk, risk interdependence, long-memory patterns, etc. However, a large majority of people misunderstand them, leading to several deadly serious frauds in trading and risk management practice. Consequently, it is important to re-state the nature of volatility and correlation.