eBook - Machine Learning for Risk Calculations: A Practitioner's View

  • ISBN: 9789377064457
  • 464 pages

Available Exclusively as an eBook | Part of the AI Collection | Only for Institutional Purchase | Publication Year: 2022

Description

This book presents algorithmic solutions using deep learning and Chebyshev tensors to address the significant computational demands of risk calculations in financial institutions. It reviews fundamental techniques and demonstrates practical applications in financial risk areas such as Counterparty Credit Risk, VaR, and portfolio optimization, improving risk management and computational efficiency.

About the Author

Ignacio Ruiz is the head of Counterparty Credit Risk Measurement and Analytics at Scotiabank. Mariano Zeron is Head of Research and Development at MoCaX Intelligence.

Table of Contents

Part One Fundamental Approximation Methods

Part Two The toolkit — plugging in approximation methods

Part Three Hybrid solutions — approximation methods and the toolkit

Part Four Applications

Appendices

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