Scenario generation

• Deep Learning in Segregated Fund Valuation: Part 2

  published date Jun 06, 2022

  additional article information 6 minutes to read
  Summary: This article is the second part of an article that appeared in April 2022 on the Emerging Topics Community webpage. It will discuss the data preparation, hyperparameter tuning and selection, and the training and testing process of the deep learning models. To reach the final conclusions, the article will continue to compare the projected cash flow results from LSTM and LSTM-Attn with those from the traditional method, and evaluate the time series generations of interest rates and equity returns by WGAN and TCN-GAN

  Topics:

  Technology & Applications

  Modeling & Statistical Methods

  Artificial intelligence & machine learning

  Technical Skills & Analytical Problem Solving

  Non-country specific

  Canada

  Scenario generation

  Stochastic models