Machine Learning for Portfolio Tail Risk Measurement


We consider calculation of VaR/TVaR capital requirements when the underlying economic scenarios are determined by simulatable risk factors. This problem involves computationally expensive nested simulation, since evaluating... [ view full abstract ]


  1. Mike Ludkovski (University of California, Santa Barbara)
  2. Jimmy Risk (Cal Poly Pomona)

Topic Areas

Capital Requirements , Machine Learning , Simulation


TH-P-BU » Machine Learning (14:30 - Thursday, 19th July, Burke Theater)

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