Essays about: "generative adversarial networks value at risk finance machine learning neural networks"

Found 2 essays containing the words generative adversarial networks value at risk finance machine learning neural networks.

1. 1. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

   University essay from KTH/Matematik (Avd.)

   Author : William Nord-Nilsson; [2023]
   Keywords : Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

   Abstract : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. READ MORE

3. 2. Value at Risk Estimation with Generative Adversarial Networks

   University essay from Lunds universitet/Statistiska institutionen

   Author : David Tobjörk; [2021]
   Keywords : generative adversarial networks value at risk finance machine learning neural networks; Mathematics and Statistics;

   Abstract : Risk is of large importance for financial institutions and there are many different measures that can be used. A popular one is value at risk (VaR), which is the maximum likely loss for a portfolio of financial assets. Different methods of estimating it has been suggested, one often described is the variance-covariance method. READ MORE