Abstract

Novel approaches employing an Artificial Neural Networks to enhance the infrastructure of existing Monte Carlo Risk engines are presented. An Artificial Neural Network is utilized to retrieve trade- and market data from existing Expected Exposure profiles of interest rate swaps which enables its usage as part of data control frameworks and exposure explain applications. An Artificial Neural Network is also utilized to predict Expected Exposure mimicking a Monte Carlo Risk engine showing similar accuracy at faster speeds of execution.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.