Hi, This is David from Bionic Turtle, and today we will be looking at the Quantile Function. The quantile function, which is the inverted cumulative distribution function, gives us the value (X) that answers the question, with confidence of (P%), what is the most losses I can expect?
The quantile function is not an idea in itself, but since it is an inverted function it tends to confuse most people. So to explain this concept, we have created a video that covers an example. You can watch this video here.
Here is the spreadsheet we have used (and that shows the same recursive solution to all three distributions): http://db.tt/gyrCxFU5
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Dinesh has worked as a Basel II Project Manager with one of the Top-3 private sector banks in India. Dinesh has worked extensively on corporate risk management, capital management, risk parameter estimation and validation, operational loss data and risk policy framework.
Prior to launching bionicturtle.com, David was a consultant to executives and Boards. He advised primarily to technology and financial firm on transactions (IPSO, M&A), incentives and performance improvement (economic value added).