Estimating the Value-at-Risk by Temporal VAE

Estimating the Value-at-Risk by Temporal VAE

Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions. As the joint log-returns of asset prices can often be projected to a latent space of a much smaller dimension, the use of a variational autoencoder (VAE) for estimating the VaR is a...

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Bibliographic Details
Main Authors: Robert Buch, Stefanie Grimm, Ralf Korn, Ivo Richert
Format: Article
Language:English
Published: MDPI AG 2023-04-01
Series:Risks
Subjects:
value-at-risk estimation
variational autoencoders
recurrent neural networks
risk-management
auto-pruning
posterior collapse
Online Access:https://www.mdpi.com/2227-9091/11/5/79

Internet

https://www.mdpi.com/2227-9091/11/5/79

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