2 papers
cs.LG2023
Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque +1
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key relate…
q-fin.MF2022
Deep Learning for Systemic Risk Measures
Yichen Feng, Ming Min, Jean-Pierre Fouque
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital al…