Deep treasury management for banks

Deep treasury management for banks

Retail banks use Asset Liability Management (ALM) to hedge interest rate risk associated with differences in maturity and predictability of their loan and deposit portfolios. The opposing goals of profiting from maturity transformation and hedging interest rate risk while adhering to numerous regula...

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Bibliographic Details
Main Authors: Holger Englisch, Thomas Krabichler, Konrad J. Müller, Marc Schwarz
Format: Article
Language:English
Published: Frontiers Media S.A. 2023-03-01
Series:Frontiers in Artificial Intelligence
Subjects:
Asset Liability Management (ALM)
deep hedging
deep stochastic control
dynamic strategies
machine learning in finance
reinforcement learning
Online Access:https://www.frontiersin.org/articles/10.3389/frai.2023.1120297/full

Internet

https://www.frontiersin.org/articles/10.3389/frai.2023.1120297/full

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