We propose a new machine-learning-based approach for forecasting Value-at-Risk (VaR) named CoFiE-NN where a neural network (NN) is combined with Cornish-Fisher expansions (CoFiE). CoFiE-NN can capture ...
In business, as in life, it’s easy to make commitments. It’s harder—and far more powerful—to stake your success on delivering them. That’s the essence of going at-risk: tying your compensation ...
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