most citedAssessing asset-liability risk with neural networks

16 citations · 16 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.RM2021★ 16 cited

Assessing asset-liability risk with neural networks

Patrick Cheridito, John Ery, Mario V. Wüthrich

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfo…