Machine Learning for Risk Calculations: A Practitioner's View Hardcover -
by Ignacio Ruiz; Mariano Zeron
From the jacket flap
As the computational demand of risk calculations in financial institutions has exploded, many of these same organizations have sought an alternative to running enormous farms of CPUs and GPUs in order to price complex financial instruments, as well as detect and measure hidden or unexpected risks. Algorithmic solutions, grounded on Deep Learning and Chebyshev Tensors, represent a central family of these types of alternatives.
In Machine Learning for Risk Calculations: A Practitioner's View, Ignacio Ruiz and Mariano Zeron deliver practical strategies to reduce costs while simultaneously increasing risk calculation capabilities. The book includes numerical tests and examples demonstrating how these solutions can be applied, as well as a companion website from which you can download a software suite used throughout the book.
You'll be able to follow along and experiment with your own calculations as you read about improving risk management without putting unrealistic computational burdens on your systems.
The book reviews the fundamental techniques involved in Deep Learning, Chebyshev Tensors and the algorithmic tools that, in combination with these techniques, help to solve the problem of computational overload. It also discusses how these solutions can be applied to practical problems in the real world, like XVA and counterparty credit risk, IMM capital, PFE, Market Risk VaR and FRTB, dynamic initial margin simulation, pricing function calibration, volatility surface parametrization, portfolio optimization, exotic pricer sensitivities and more.
Perfect for quants, IT professionals and quantitative risk managers in financial institutions, Machine Learning for Risk Calculations is an indispensable guide to the use of algorithmic solutions for the problem of massive computational burdens imposed by risk calculations in financial institutions.
Details
- Title Machine Learning for Risk Calculations: A Practitioner's View
- Author Ignacio Ruiz; Mariano Zeron
- Binding Hardcover
- Pages 464
- Volumes 1
- Language ENG
- Publisher Wiley
- Features Index
- ISBN 9781119791386 / 1119791383
- Weight 1.75 lbs (0.79 kg)
- Dimensions 9.69 x 6.85 x 1.57 in (24.61 x 17.40 x 3.99 cm)
- Library of Congress subjects Machine learning, Financial risk management
- Library of Congress Catalog Number 2021036694
- Dewey Decimal Code 332.102
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Machine Learning for Risk Calculations: A Practitioner's view
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MACHINE LEARNING FOR RISK CALCULATIONS A PRAC CTITIONER'S VIEW �
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