Knowledge Base Articles
Part I: An Introduction to Self-Normalizing Neural Networks
Machine learning applications have become more prominent in the financial industry in recent years. Our new article series is exploring the benefits and challenges of using the self-normalizing neural networks (SNNs) for the calculations of the liquidity risk. The first piece of the series introduces the main concepts used in the investigative case study on the Swedish bond market.
Part III: Asset and Liability Management Using LSMC - Allocation Optimisation
In the third and concluding article in the ALM using LMSC series, we focus on analyzing the optimal asset allocations in the context of changing asset classes as well as finding the optimal allocation by maximizing the risk-adjusted net asset value. The estimates based on the LSMC method are then compared to the estimates obtained from the full nested Monte Carlo method.
Regression Functions in Least-Squares Monte Carlo Simulations
In this article we will introduce an efficient way of estimating and calibrating regression functions in a LSMC environment.