"Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation estimations with non-crossing conditions"
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More about this item
Keywords
Risk evaluation; Deep learning; Extreme quantiles. JEL classification: C31; C45; C52.;All these keywords.
JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2022-11-07 (Big Data)
- NEP-CMP-2022-11-07 (Computational Economics)
- NEP-ECM-2022-11-07 (Econometrics)
- NEP-RMG-2022-11-07 (Risk Management)
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