DeepVaR : a framework for portfolio risk assessment leveraging probabilistic deep neural networks
Year of publication: |
2023
|
---|---|
Authors: | Fatouros, Georgios ; Makridis, Georgios ; Kotios, Dimitrios ; Soldatos, John ; Filippakis, Michael ; Kyriazis, Dimosthenis |
Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 5.2023, 1, p. 29-56
|
Subject: | Finance | Forex | Probabilistic deep neural networks | Risk assessment | Time-series | VaR | VaR prediction | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution |
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