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  • Search: person:"Kondratyev, Alexei"
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Year of publication
Subject
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Theorie 6 Theory 6 Simulation 3 Artificial intelligence 2 Bankrisiko 2 Künstliche Intelligenz 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Portfolio selection 2 Portfolio-Management 2 Risiko 2 Risikomanagement 2 Risk 2 Volatility 2 Volatilität 2 risk management 2 risk management system 2 Algorithm 1 Algorithmus 1 Bank risk 1 CVA engine 1 FX volatility 1 FX volatility adjustment 1 Forecasting model 1 Generationengerechtigkeit 1 IMM 1 IMM waiver 1 Intergenerational equity 1 Learning process 1 Lernprozess 1 Market mechanism 1 Marketing management 1 Marketingmanagement 1 Marktmechanismus 1 Monte Carlo risk engine 1 Monte-Carlo-Methode 1 Neural networks 1 Neuronale Netze 1 PFE engine 1 Prognoseverfahren 1
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Online availability
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Free 7
Type of publication
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Book / Working Paper 7 Article 5
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 10 Undetermined 2
Author
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Kondratyev, Alexei 12 Schwarz, Christian 2 Giorgidze, George 1 Horvath, Blanka 1
Published in...
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Journal / The Capco Institute : journal of financial transformation 3 Journal of Financial Transformation 2
Source
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ECONIS (ZBW) 9 RePEc 2 OLC EcoSci 1
Showing 1 - 10 of 12
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Quantum Machine Learning (Presentation Slides)
Kondratyev, Alexei - 2021
The presentation slides cover two promising machine learning applications of parameterised quantum circuits: Quantum Neural Network (discriminative QML model) and Quantum Circuit Born Machine (generative QML model)
Persistent link: https://www.econbiz.de/10013223451
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Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltzmann Machines
Kondratyev, Alexei - 2020
We propose a novel approach to the anonymisation of datasets through non-parametric learning of the underlying multivariate distribution of dataset features and generation of the new synthetic samples from the learned distribution. The main objective is to ensure equal (or better) performance of...
Persistent link: https://www.econbiz.de/10012842996
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The Market Generator
Kondratyev, Alexei - 2020
We propose to use a special type of generative neural networks - a Restricted Boltzmann Machine (RBM) - to build a powerful generator of synthetic market data that can replicate the probability distribution of the original market data. An RBM constructed with stochastic binary activation units...
Persistent link: https://www.econbiz.de/10012849275
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Learning Curve Dynamics with Artificial Neural Networks
Kondratyev, Alexei - 2018
Our objective is to learn the natural curve shapes with the help of Artificial Neural Networks (ANN). Our research aims to improve curve dynamics generated by the parametric models and the PCA. By running the ANN on the dataset of historically observed term structures of forward commodity prices...
Persistent link: https://www.econbiz.de/10012932761
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Naive Monte Carlo
Kondratyev, Alexei - 2017
This paper discusses the implications of having risk management systems built on simplified methodologies. As an example, quanto adjustments for risk factors simulation are considered. The impact on counterparty exposure and regulatory capital calculations is quantified
Persistent link: https://www.econbiz.de/10012975601
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FX Volatility Adjustment for Risk Factors Simulation
Kondratyev, Alexei - 2017
This paper discusses a class of methodological issues that frequently arise in the risk management systems such as PFE and CVA engines. Simplified methodology and shortcuts come at a price, sometimes a steep one. To account for model deficiencies and disconnect between the calibration and the...
Persistent link: https://www.econbiz.de/10012975642
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MVA Optimisation with Machine Learning Algorithms
Kondratyev, Alexei - 2017
MVA is becoming a dominant XVA component in interdealer derivatives trading in the post Margin Reform environment. Unlike FVA which can be either a funding cost or a funding benefit, MVA due to BCBS IOSCO IM is always a cost because of non-rehypothecability of the initial margin posted under the...
Persistent link: https://www.econbiz.de/10012962527
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Naive Monte Carlo
Kondratyev, Alexei - In: Journal of Financial Transformation 36 (2013), pp. 117-121
This paper discusses the implications of having risk management systems built on simplified methodologies. As an example, quanto adjustments for risk factors simulation are considered. The impact on counterparty exposure and regulatory capital calculations is quantified.
Persistent link: https://www.econbiz.de/10010840621
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FX volatility adjustment for risk factors stimulation
Kondratyev, Alexei - In: Journal of Financial Transformation 37 (2013), pp. 111-116
This paper discusses a class of methodological issues that frequently arise in risk management systems such as PFE and CVA engines. Simplified methodology and shortcuts come at a price, sometimes a steep one. To account for model deficiencies and a disconnect between the calibration and the...
Persistent link: https://www.econbiz.de/10010840638
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Naïve Monte Carlo
Kondratyev, Alexei - In: Journal / The Capco Institute : journal of financial … 36 (2013), pp. 117-121
Persistent link: https://www.econbiz.de/10009785706
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