Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17
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...
