"Quantifying Credit Portfolio sensitivity to asset correlations with ..."

Sergio Caprioli, Emanuele Cagliero, Riccardo Crupi (2023)

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DOI: 10.48550/ARXIV.2309.08652

access: open

type: Informal or Other Publication

metadata version: 2023-09-26

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  - journals/corr/abs-2309-08652
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  - https://dblp.org/rec/journals/corr/abs-2309-08652
Sergio Caprioli, Emanuele Cagliero, Riccardo Crupi:
Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks. CoRR abs/2309.08652 (2023)

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