Coherent risk measure using feedfoward neural networks

Lecture Notes in Computer Science

Volumn 3497, Issue II, 2005, Pages 904-909

  Lee, Hyoseok ^a   Lee, Jaewook ^a   Yoon, Younggui ^b   Kim, Sooyoung ^a  

^a Pohang University of Science and Technology (POSTECH)   (South Korea)

^b Chung Ang University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

RISK ASSESSMENT; RISK PERCEPTION; VALUE ENGINEERING;

COHERENT RISK MEASURES; CONDITIONAL EXPECTATION; EVALUATION CRITERIA; NEURAL-NETWORKS; VALUE AT RISK;

FEEDFORWARD NEURAL NETWORKS;

EID: 24944506945     PISSN: 03029743     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/11427445_145     Document Type: Conference Paper

References (10)

1. Coleman, T.F., Alexander, S., Li, Y.: Minimizing CVaR and VaR for a Portfolio of Derivatives. The 3rd International Workshop on Optimization and Control with Applications, Chongqing Chengdu Jiuzhaigou, China (2004)
2. Patton, A.J.: Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula. Working Paper, University of California, San Diego
3. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent Measures of Risk. Mathematical Finance, 9 (1999) 203-228
4. Lee, D.-W., Choi, H.-J., Lee J.: A Regularized Line Search Tunneling for Efficient Neural Network Learning. Lecture Notes in Computer Science, Springer-Verlag, Berlin Heidelberg New York 3173 (2004) 239-243
5. Holton, G.A.: Value-at-Risk: Theoy and Practice. Academic Press, San Diego (2003)
6. Choi, H.J., Lee, H.S., Han, G.S., Lee, J.: Efficient Option Pricing via a Globally Regularized Neural Network. Lecture Notes in Computer Science, Springer-Verlag, Berlin Heidelberg New York 3174 (2004) 988-993
7. Lee, J.: Attractor-Based Trust-Region Algorithm for Efficient Training of Multilayer Perceptrons. Electronics Letters, 39 (2003) 71-72
8. Pearson, N.D.: Risk Budgeting: Portfolio Problem Solving with Value-at-Risk. Wiley Finance, New York (2002)
9. Locarek-junge, H., Prinzler, R.: Estimating Value-at-Risk Using Neural Networks. Informations Systeme in der Finanzwirtschaft (1998)
10. Rockafellar, R.T., Uryasev, S.: Conditional Value at Risk for General Loss Distributions. Journal of Banking and Finance, 26 (2002) 1443-1471