Related papers: Estimating the Value-at-Risk by Temporal VAE

Learning data representations that reflect the customers' creditworthiness can improve marketing campaigns, customer relationship management, data and process management or the credit risk assessment in retail banks. In this research, we…

Variational autoencoder (VAE) is a very successful generative model whose key element is the so called amortized inference network, which can perform test time inference using a single feed forward pass. Unfortunately, this comes at the…

The variational autoencoder (VAE) is a powerful generative model that can estimate the probability of a data point by using latent variables. In the VAE, the posterior of the latent variable given the data point is regularized by the prior…

Variational autoencoders (VAEs) are a popular generative model used to approximate distributions. The encoder part of the VAE is used in amortized learning of latent variables, producing a latent representation for data samples. Recently,…

In recent years, the dynamic factor model has emerged as a dominant tool in economics and finance, particularly for investment strategies. This model offers improved handling of complex, nonlinear, and noisy market conditions compared to…

Multi-step stock price prediction over a long-term horizon is crucial for forecasting its volatility, allowing financial institutions to price and hedge derivatives, and banks to quantify the risk in their trading books. Additionally, most…

Learning from an imbalanced distribution presents a major challenge in predictive modeling, as it generally leads to a reduction in the performance of standard algorithms. Various approaches exist to address this issue, but many of them…

In this research, we propose a novel approach for the quantification of credit portfolio Value-at-Risk (VaR) sensitivity to asset correlations with the use of synthetic financial correlation matrices generated with deep learning models. In…

Many real-world monitoring and surveillance applications require non-trivial anomaly detection to be run in the streaming model. We consider an incremental-learning approach, wherein a deep-autoencoding (DAE) model of what is normal is…

In recent years Variation Autoencoders have become one of the most popular unsupervised learning of complicated distributions.Variational Autoencoder (VAE) provides more efficient reconstructive performance over a traditional autoencoder.…

Particle accelerators are time-varying systems whose components are perturbed by external disturbances. Tuning accelerators can be a time-consuming process involving manual adjustment of multiple components, such as RF cavities, to minimize…

Variational Auto-Encoders (VAEs) are capable of learning latent representations for high dimensional data. However, due to the i.i.d. assumption, VAEs only optimize the singleton variational distributions and fail to account for the…

Generating accurate extremes from an observational data set is crucial when seeking to estimate risks associated with the occurrence of future extremes which could be larger than those already observed. Applications range from the…

In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested. The new method is developed from the perspective of Bayesian statistics and it…

We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds, in a non-parametric setup allowing for heavy-tails on the…

Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…

Time series Anomaly Detection (AD) plays a crucial role for web systems. Various web systems rely on time series data to monitor and identify anomalies in real time, as well as to initiate diagnosis and remediation procedures. Variational…

The variational autoencoder (VAE) is a popular deep latent variable model used to analyse high-dimensional datasets by learning a low-dimensional latent representation of the data. It simultaneously learns a generative model and an…

Variational AutoEncoder (VAE) has been extended as a representative nonlinear method for collaborative filtering. However, the bottleneck of VAE lies in the softmax computation over all items, such that it takes linear costs in the number…

Survival regression aims to predict the time when an event of interest will take place, typically a death or a failure. A fully parametric method [18] is proposed to estimate the survival function as a mixture of individual parametric…