Model-free computation of risk contributions in credit portfolios.
Álvaro LeitaoLuis Ortiz-GraciaPublished in: Appl. Math. Comput. (2020)
Keyphrases
- model free
- risk sensitive
- reinforcement learning
- reinforcement learning algorithms
- risk analysis
- portfolio optimization
- function approximation
- credit risk
- temporal difference
- risk evaluation
- policy iteration
- risk factors
- credit scoring
- risk management
- investment decisions
- genetic algorithm
- data mining
- neural network