Current and prospective estimate of counterparty risk through dynamic neural networks
Year of publication: |
2022
|
---|---|
Authors: | Agnese, Alessio ; Giribone, Pier Giuseppe ; Querci, Francesca |
Published in: |
Risk management magazine. - Milano : Associazione Italiana Financial Industry Risk Managers (AIFIRM), ISSN 2724-2153, ZDB-ID 3139381-0. - Vol. 17.2022, 2, p. 42-61
|
Subject: | Default Probability | Counterparty Risk | Credit Default Swap | Corporate Bond | KMV model | Nonlinear Auto-Regressive (NAR)network | forecasting | Finanzdienstleistung | Financial services | Theorie | Theory | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Neuronale Netze | Neural networks | Unternehmensanleihe | Corporate bond | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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