1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PM2023★ 1 cited
Profit and loss attribution: An empirical study
Solveig Flaig, Gero Junike
The profit and loss (p&l) attrition for each business year into different risk or risk factors (e.g., interest rates, credit spreads, foreign exchange rate etc.) is a regulatory re…
q-fin.RM2023
Validation of machine learning based scenario generators
Gero Junike, Solveig Flaig, Ralf Werner
Machine learning (ML) methods are becoming increasingly important in the design economic scenario generators for internal models. Validation of data-driven models differs from clas…
cs.LG2021
Scenario generation for market risk models using generative neural networks
Solveig Flaig, Gero Junike
In this research, we show how to expand existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) to a whole internal market risk mo…