In this paper, the authors show how to exploit the available data to build portfolios that better fit the risk profiles of investors. This is made possible, on the one hand, by constructing groups of homogeneous risk profiles based on user responses to…
Market generator models may aid areas of finance where data is limited or sensitive
A generative neural network is proposed to create synthetic datasets that mantain the statistical properties of the original dataset
Recently developed techniques aimed at answering interpretability issues in neural networks are tested and applied to a retail banking case
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
Bank uses neural networks and other AI tools to cut slippage in stock trading
The latest big idea in machine learning is to automate the drudge work in model-building for quants
Quants are embracing the idea of ‘model free’ pricing and hedging
SocGen quant uses deep learning technique to optimise collateral substitution
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Boston-based Acadian aims to limit risks from complex, machine learning algorithms
Buy-siders limit usage of deep learning techniques due to haziness over their inner workings
Advanced algos and machine learning gain credence as regulators encourage innovation
In this paper, the authors study an evolutionary framework for the optimization of various types of neural network structures and parameters.
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
Separating the wheat from the chaff is fundamental to ESG investing. Machine learning can do that
Energy firms explore how artificial intelligence can boost returns
Knowing what to remember and what to forget could help machines beat quant and discretionary investors
Risk USA: Neural nets beat other models in tests, but results could not be explained
In this paper, the authors present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture.
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.