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q-fin.CP2022
Mod-Poisson approximation schemes: Applications to credit risk
Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod- convergence and mod- approximation schemes. Th…
q-fin.CP2022
Universal approximation of credit portfolio losses using Restricted Boltzmann Machines
Giuseppe Genovese, Ashkan Nikeghbali, Nicola Serra +1
We introduce a new portfolio credit risk model based on Restricted Boltzmann Machines (RBMs), which are stochastic neural networks capable of universal approximation of loss distri…