arXiv Open Access 2021

Assessing asset-liability risk with neural networks

Patrick Cheridito John Ery Mario V. Wüthrich

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Abstrak

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We illustrate the method on different examples from banking and insurance. We focus on value-at-risk and expected shortfall, but the approach also works for other risk measures.

Topik & Kata Kunci

q-fin.RM q-fin.CP

Penulis (3)

Patrick Cheridito

John Ery

Mario V. Wüthrich

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Cheridito, P., Ery, J., Wüthrich, M.V. (2021). Assessing asset-liability risk with neural networks. https://arxiv.org/abs/2105.12432

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Informasi Jurnal

Tahun Terbit: 2021
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓