Article Details

Quantifying credit portfolio sensitivity to asset correlations with interpretable generative ... - Risk.net

Retrieved on: 2024-04-23 13:41:41

Tags for this article:

Click the tags to see associated articles and topics

Quantifying credit portfolio sensitivity to asset correlations with interpretable generative ... - Risk.net. View article details on HISWAI: https://www.risk.net/journal-of-risk-model-validation/7959308/quantifying-credit-portfolio-sensitivity-to-asset-correlations-with-interpretable-generative-neural-networks

Summary

The article introduces a deep learning approach, specifically using variational autoencoders (VAEs), for enhancing financial risk modeling by generating synthetic correlation matrices to better understand the sensitivity of credit portfolios to asset correlations.

Article found on: www.risk.net

View Original Article

This article is found inside other Hiswai user's workspaces. To start your own collection, sign up for free.

Sign Up