Technical paper/Neural networks
CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Dilated convolutional neural networks for time series forecasting
In this paper, the authors present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture.
An empirical study on credit risk management: the case of nonbanking financial companies
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.
Chaotic behavior in financial market volatility
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
Credit default prediction using a support vector machine and a probabilistic neural network
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration