103 citations · 103 across the 4 of their papers we have counts for
3 papers · 1 filter
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…
Mod-Poisson approximation schemes and higher-order Chen-Stein inequalities
Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin
In this article, we provide an extension of the Chen-Stein inequality for Poisson approximation in the total variation distance for sums of independent Bernoulli random variables i…
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…