Encoded value-at-risk: a machine learning approach for portfolio risk measurement

DOI10.1016/J.MATCOM.2022.07.015MaRDI QIDQ2168136zbMATH OpenOpenAlexWikidataFDO

Authors Hamid Arian, Mehrdad Moghimi, Ehsan Tabatabaei, Shiva Zamani

Publication date 31 August 2022

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.06742

zbMATH Keywords

artificial neural networksmachine learningvalue-at-riskfinancial risk managementvariational autoencoders

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

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Cites work

• A class of invariant consistent tests for multivariate normality
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• An Introduction to Variational Autoencoders
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Making and evaluating point forecasts
• Neural Approximations for Optimal Control and Decision
• Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Stochastic \(L^1\)-optimal control via forward and backward sampling
• Sur la distribution limite du terme maximum d'une série aléatoire

Cited in

(3)

• Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages
• Using financial risk measures for analyzing generalization performance of machine learning models
• Influence factor studies based on ensemble learning on the innovation performance of technology mergers and acquisitions

Describes a project that uses

Uses Software

• CAViaR
• Optuna
• CorrGAN

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