Assessing asset-liability risk with neural networks

John Ery; Mario V. W\"uthrich; Patrick Cheridito

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arxiv 2105.12432 v1 pith:AOOSXYOD submitted 2021-05-26 q-fin.RM q-fin.CP

Assessing asset-liability risk with neural networks

Patrick Cheridito , John Ery , Mario V. W\"uthrich This is my paper

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keywords portfolioriskapproachassessinggiveninsuranceneuraltime

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We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We illustrate the method on different examples from banking and insurance. We focus on value-at-risk and expected shortfall, but the approach also works for other risk measures.

Assessing asset-liability risk with neural networks

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