Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Sascha Wilkens
| Year of publication: |
2019
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|---|---|
| Authors: | Wilkens, Sascha |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 12.2019, 3, p. 374-383
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| Subject: | Gaussian process regression | expected shortfall | machine learning | market risk | risk measurement | value-at-risk | Risikomaß | Risk measure | Künstliche Intelligenz | Artificial intelligence | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection | Messung | Measurement | Stochastischer Prozess | Stochastic process | Marktrisiko | Market risk | Gauß-Prozess | Gaussian process | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012131743