Scenario generation for market risk models using generative neural networks
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- Marc Hallin & Gilles Mordant & Johan Segers, 2020.
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Working Papers ECARES
2020-06, ULB -- Universite Libre de Bruxelles.
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Cited by:
- Gero Junike & Hauke Stier & Marcus C. Christiansen, 2022. "Sequential decompositions at their limit," Papers 2212.06733, arXiv.org, revised Apr 2023.
- Solveig Flaig & Gero Junike, 2023. "Validation of machine learning based scenario generators," Papers 2301.12719, arXiv.org, revised Nov 2023.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2021-09-27 (Big Data)
- NEP-CMP-2021-09-27 (Computational Economics)
- NEP-IAS-2021-09-27 (Insurance Economics)
- NEP-ISF-2021-09-27 (Islamic Finance)
- NEP-RMG-2021-09-27 (Risk Management)
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