Coherent Risk Measure Using Feedfoward Neural Networks

Lee, Hyoseok; Lee, Jae‐Wook; Yoon, Young-Gui; Kim, Soo‐Young

doi:10.1007/11427445_145

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Market Risk Computation1

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Cited by 3 publications

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“…Evolutionary algorithms do not need to embed this assumption and can incorporate any preferred loss distribution type [114]. NNs have also been used for other market risk measures, such as Conditional VaR estimates [67], and expected shortfall [35]. The sensitivity analysis approach measures how much the portfolio's (or a specific financial instrument's) value is expected to change if there is a small change in one of the market-risk factors, such as interest rates, equity prices, commodity prices etc.…”

Section: Market Risk Computationmentioning

confidence: 99%