Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks
Sergio Caprioli, Emanuele Cagliero and Riccardo Crupi
| Year of publication: |
2024
|
|---|---|
| Authors: | Caprioli, Sergio ; Cagliero, Emanuele ; Crupi, Riccardo |
| Subject: | variational autoencoder (VAE) | credit portfolio model | concentration risk | generativeneural network | interpretable generative neural networks | explainable artificial intelligence (XAI) | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | Korrelation | Correlation | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2024.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014556697