DeepVaR : a framework for portfolio risk assessment leveraging probabilistic deep neural networks
Georgios Fatouros, Georgios Makridis, Dimitrios Kotios, John Soldatos, Michael Filippakis, Dimosthenis Kyriazis
| Year of publication: |
2023
|
|---|---|
| Authors: | Fatouros, Georgios ; Makridis, Georgios ; Kotios, Dimitrios ; Soldatos, John ; Filippakis, Michael ; Kyriazis, Dimosthenis |
| Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 5.2023, 1, p. 29-56
|
| Subject: | Finance | Forex | Probabilistic deep neural networks | Risk assessment | Time-series | VaR | VaR prediction | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomanagement | Risk management | VAR-Modell | VAR model | Wahrscheinlichkeitsrechnung | Probability theory | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s42521-022-00050-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014251567