Scenario Generation for Market Risk Models Using Generative Neural Networks

Flaig, Solveig und Junike, Gero (22. Oktober 2022): Scenario Generation for Market Risk Models Using Generative Neural Networks. In: Risks, Bd. 10, Nr. 11, 199

Abstract

In this research study, we show how existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) can be extended to an entire internal market risk model—with enough risk factors to model the full band-width of investments for an insurance company and for a time horizon of one year, as required in Solvency 2. We demonstrate that the results of a GAN-based internal model are similar to regulatory-approved internal models in Europe. Therefore, GAN-based models can be seen as an alternative data-driven method for market risk modeling.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 2227-9091
• Sprache: Englisch