Machine Learning for Risk Calculations - a Practitioner’s View(The Wiley Finance Series)

适合风险计算的机器学习:从业者的观点

政治经济学

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作      者
出  版 社
出版时间
2021年11月24日
装      帧
精装
ISBN
9781119791386
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页      码
464
语      种
英文
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图书简介
Deep Learning and Chebyshev Tensor for Optimal Risk Calculations provides an in-depth review of a number of smart algorithmic solutions and demonstrates how they can be used to overcome the massive computational burden of risk calculations in financial institutions. Beginning with a review of fundamental techniques including Deep Learning, Deep Neural Nets, and Chebyshev Tensors (Part I), it goes on to discuss algorithmic tools (Part II) that, in combination with the fundamentals, deliver the solutions (Part III). Then it explains how these solutions can be applied to practical problems (Part IV) including XVA and Counterparty Credit Risk, IMM capital, PFE, VaR, FRTB, Dynamic Initial Margin, pricing calibration and others. Finally, Part V covers the benefits these techniques provide, the practicalities of implementing them and the software which can be used.
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