Dataset Information

DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks.

ABSTRACT: Determining and minimizing risk exposure pose one of the biggest challenges in the financial industry as an environment with multiple factors that affect (non-)identified risks and the corresponding decisions. Various estimation metrics are utilized towards robust and efficient risk management frameworks, with the most prevalent among them being the Value at Risk (VaR). VaR is a valuable risk-assessment approach, which offers traders, investors, and financial institutions information regarding risk estimations and potential investment insights. VaR has been adopted by the financial industry for decades, but the generated predictions lack efficiency in times of economic turmoil such as the 2008 global financial crisis and the COVID-19 pandemic, which in turn affects the respective decisions. To address this challenge, a variety of well-established variations of VaR models are exploited by the financial community, including data-driven and data analytics models. In this context, this paper introduces a probabilistic deep learning approach, leveraging time-series forecasting techniques with high potential of monitoring the risk of a given portfolio in a quite efficient way. The proposed approach has been evaluated and compared to the most prominent methods of VaR calculation, yielding promising results for VaR 99% for forex-based portfolios.

Supplementary information

The online version contains supplementary material available at 10.1007/s42521-022-00050-0.

SUBMITTER: Fatouros G

PROVIDER: S-EPMC9006212 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature

ACCESS DATA

Publications

DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks.

Fatouros Georgios G Makridis Georgios G Kotios Dimitrios D Soldatos John J Filippakis Michael M Kyriazis Dimosthenis D

Digital finance 20220413 1

Determining and minimizing risk exposure pose one of the biggest challenges in the financial industry as an environment with multiple factors that affect (non-)identified risks and the corresponding decisions. Various estimation metrics are utilized towards robust and efficient risk management frameworks, with the most prevalent among them being the Value at Risk (VaR). VaR is a valuable risk-assessment approach, which offers traders, investors, and financial institutions information regarding r ...[more]

PMID: 35434526

Similar Datasets

Project description:IntroductionPostoperative complications affect up to 15% of surgical patients constituting a major part of the overall disease burden in a modern healthcare system. While several surgical risk calculators have been developed, none have so far been shown to decrease the associated mortality and morbidity. Combining deep neural networks and genomics with the already established clinical predictors may hold promise for improvement.MethodsThe UK Biobank was utilized to build linear and deep learning models for the prediction of surgery relevant outcomes. An initial GWAS for the relevant outcomes was initially conducted to select the Single Nucleotide Polymorphisms for inclusion in the models. Model performance was assessed with Receiver Operator Characteristics of the Area Under the Curve and optimum precision and recall. Feature importance was assessed with SHapley Additive exPlanations.ResultsModels were generated for atrial fibrillation, venous thromboembolism and pneumonia as genetics only, clinical features only and a combined model. For venous thromboembolism, the ROC-AUCs were 60.1% [59.6%-60.4%], 63.4% [63.2%-63.4%] and 66.6% [66.2%-66.9%] for the linear models and 51.5% [49.4%-53.4%], 63.2% [61.2%-65.0%] and 62.6% [60.7%-64.5%] for the deep learning SNP, clinical and combined models, respectively. For atrial fibrillation, the ROC-AUCs were 60.3% [60.0%-60.4%], 78.7% [78.7%-78.7%] and 80.0% [79.9%-80.0%] for the linear models and 59.4% [58.2%-60.9%], 78.8% [77.8%-79.8%] and 79.8% [78.8%-80.9%] for the deep learning SNP, clinical and combined models, respectively. For pneumonia, the ROC-AUCs were 50.1% [49.6%-50.6%], 69.2% [69.1%-69.2%] and 68.4% [68.0%-68.5%] for the linear models and 51.0% [49.7%-52.4%], 69.7% [.5%-70.8%] and 69.7% [68.6%-70.8%] for the deep learning SNP, clinical and combined models, respectively.ConclusionIn this report we presented linear and deep learning predictive models for surgery relevant outcomes. Overall, predictability was similar between linear and deep learning models and inclusion of genetics seemed to improve accuracy.

Dataset Information

DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks.

Supplementary information

Publications

DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks.

Similar Datasets

OmicsDI is part of the ELIXIR infrastructure

Tweets