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Assessing asset-liability risk with neural networks

Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …

Persistent link: https://www.econbiz.de/10012203982

Firm default prediction by GNN with gravity-model informed neighbor node sampling

Minakawa, Naoto; Izumi, Kiyoshi; Murayama, Yuri; … - In: The review of socionetwork strategies 18 (2024) 2, pp. 303-328

Persistent link: https://www.econbiz.de/10015194246

Bayesian risk forecasting for long horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run …

Persistent link: https://www.econbiz.de/10011979983

Anticipating financial distress of high-tech startups in the European Union : a machine learning approach for imbalanced samples

Liu, Yang; Zeng, Qingguo; Li, Bobo; Ma, Lili; … - In: Journal of forecasting 41 (2022) 6, pp. 1131-1155

Persistent link: https://www.econbiz.de/10013465685

Forecasting value at risk (VaR) for emerging and developed markets

Naimy, Viviane; Bou Zeidan, Melissa - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10012173924

Forecasting value-at-risk and expected shortfall in emerging market : does forecast combination help?

Trung Hai Le - In: The journal of risk finance : JRF 25 (2024) 1, pp. 160-177

Persistent link: https://www.econbiz.de/10014504681

The role of models in economics and risk management

Rowe, David M. - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 103-109

Persistent link: https://www.econbiz.de/10010359522

Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80

Persistent link: https://www.econbiz.de/10011392904

Managing risk in a creepy world

Sirbette, Didier; Cauwels, Peter - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 83-108

Persistent link: https://www.econbiz.de/10010526455

The role of trading volume in forecasting market risk

Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181

Persistent link: https://www.econbiz.de/10011567980