Machine Learning for Risk Calculations:A Practitioner’s View

Machine Learning for Risk Calculations:A Practitioner's View (The Wiley Finance Series)
Author:Ignacio Ruiz and Mariano Zeron
Publisher Finelybook 出版社:Wiley; 1st edition (December 28, 2021)
Language 语言:English
pages 页数:464 pages
ISBN-10 书号:1119791383
ISBN-13 书号:9781119791386

Book Description
State-of-the-art algorithmic deep learning and tensoring techniques for financial institutions

The computational demand of risk calculations in financial institutions has ballooned and shows no sign of stopping. It is no longer viable to simply add more computing power to deal with this increased demand. The solution? Algorithmic solutions based on deep learning and CheAuthor:shev tensors represent a practical way to reduce costs while simultaneously increasing risk calculation capabilities. Machine Learning for Risk Calculations:A Practitioner’s View provides an in-depth review of a number of algorithmic solutions and demonstrates how they can be used to overcome the massive computational burden of risk calculations in financial institutions.

This book will get you started Author:reviewing fundamental techniques, including deep learning and CheAuthor:shev tensors. You’ll then discover algorithmic tools that, in combination with the fundamentals, deliver actual solutions to the real problems financial institutions encounter on a regular basis. Numerical tests and examples demonstrate how these solutions can be applied to practical problems, including XVA and Counterparty Credit Risk, IMM capital, PFE, VaR, FRTB, Dynamic Initial Margin, pricing function calibration, volatility surface parametrisation, portfolio optimisation and others. Finally, you’ll uncover the benefits these techniques provide, the practicalities of implementing them, and the software which can be used.

Review the fundamentals of deep learning and CheAuthor:shev tensors
Discover pioneering algorithmic techniques that can create new opportunities in complex risk calculation
Learn how to apply the solutions to a wide range of real-life risk calculations.
Download sample code used in the book, so you can follow along and experiment with your own calculations
Realize improved risk management whilst overcoming the burden of limited computational power
Quants, IT professionals, and financial risk managers will benefit from this practitioner-oriented approach to state-of-the-art risk calculation


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