Vacatures in Riskmanagement

Machine Learning for Market Risk

Bron: Svetlana Borovkova is the Head of Quant Modelling of Probability & Partners - 26 augustus 2022

In two recent columns, I discussed the current state of Machine Learning (ML) applications in finance (February 15, 2022) and the use of ML in credit (November 23, 2021). Recently, a new class of machine learning algorithms – the so-called autoencoders – was proposed for market risk applications by Prof. John Hull, well-known for his famous book about derivatives, and his co-author Alexander Sokol.

I heard their talks on this at the latest Risk Minds conference in December and immediately got so excited by this ingenuous application of machine learning, that we are already implementing and extending it in within our quant team at Probability & Partners.

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