Performance-Enhancing Market Risk Calculation Through Gaussian Process Regression and Multi-Fidelity Modeling
The market risk measurement of a trading portfolio in banks, specifically the practical implementation of the value-at-risk (VaR) and expected shortfall (ES) models, involves intensive recalls of the pricing engine. Machine learning algorithms may offer a solution to this challenge. In this study, w...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/13/6/134 |
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