Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement

By Vikranth Lokeshwar Dhandapani, Shashi Jain

Published 2024-02-27

Everscope rating

1713.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Neural Network-based Portfolio Compression. Problem types: Portfolio Optimization, Risk Management.

arXiv:2402.17941 · Paper rankings

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