Quantifying Credit Portfolio Sensitivity to Asset Correlations With Interpretable Generative Neural Networks.
Sergio CaprioliEmanuele CaglieroRiccardo CrupiPublished in: AIABI@AI*IA (2023)
Keyphrases
- neural network
- transaction costs
- portfolio theory
- asset allocation
- portfolio management
- pattern recognition
- artificial neural networks
- credit scoring
- sensitivity analysis
- fault diagnosis
- generative model
- fuzzy logic
- back propagation
- decision making
- portfolio selection
- high sensitivity
- neural network model
- machine learning
- genetic algorithm
- strongly correlated
- rough sets
- classification rules
- self organizing maps
- data driven
- unsupervised learning
- market data
- data mining
- global exponential stability
- credit card
- fraud detection
- network architecture
- neural nets
- feed forward
- logistic regression