GANs and synthetic financial data: calculating VaR*-Reference-Cited by-同舟云学术

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GANs and synthetic financial data: calculating VaR*

Published:2024-06-18 Issue: Volume: Page:1-16
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Allen David E.¹²³,Mushunje Leonard⁴,Peiris Shelton¹

Affiliation:

1. School of Mathematics and Statistics, The University of Sydney, Sydney, NSW, Australia

2. School of Business and Law, Edith Cowan University, WA, Australia

3. Department of Finance, Asia University, Wufeng, Taiwan

4. Department of Statistics, Commercial Bank of Zimbabwe and Columbia University, New York, USA

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2024.2365456

Reference28 articles.

1. Wasserstein Generative Adversarial Networks;Arjovsky M.;International Conference on Machine Learning,2017

2. Basel Committee on Banking Supervision. 2019. Explanatory Note on the Minimum Capital Requirements for Market Risk. https://www.bis.org/bcbs/publ/d457.htm.

3. Generalized autoregressive conditional heteroskedasticity

4. Cont R. M. Cucuringu R. Xu and C. Zhang. 2022. “Tail-GAN: Learning to Simulate Tail Risk Scenarios.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3812973.

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