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. …

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 …

determined when the consumer's risk and the test termination time are specified. The proposed sampling plan is compared with the …In this paper, a group acceptance sampling plan (GASP) is introduced for the situations when lifetime of the items … existing sampling plan. It is concluded that the proposed sampling plan performs better than the existing plan in terms of …

calculated for the one-year risk with dependencies based on correlations given by the Swiss Solvency Test. Two different …