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math.PR2022
Pattern reconstruction with restricted Boltzmann machines
Giuseppe Genovese
Restricted Boltzmann machines are energy models made of a visible and a hidden layer. We identify an effective energy function describing the zero-temperature landscape on the visi…
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…