On Estimation of Value-at-Risk with Recurrent Neural Network

In this paper, we propose a new method for predicting Value-at-Risk using recurrent neural network. We show that our new approach provide us a more flexible semi-parametric framework for forecasting VaR, and we obtain improved results comparing with other forecasting methods

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On Estimation of Value-at-Risk with Recurrent Neural Network

Semantic Scholar · Computer Science · 2019

Abstract

In this paper, we propose a new method for predicting Value-at-Risk using recurrent neural network. We show that our new approach provide us a more flexible semi-parametric framework for forecasting VaR, and we obtain improved results comparing with other forecasting methods

Source of record · Semantic Scholar

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