论文标题
径流投资组合的深度复制
Deep Replication of a Runoff Portfolio
论文作者
论文摘要
据我们所知，在定量风险管理领域中，深度学习的应用仍然是一个相对较新的现象。本文介绍了深层资产责任管理（DEEP〜ALM）的关键概念，用于在整个期限结构沿整个期限结构的资产和负债管理方面进行技术转变。该方法对广泛的应用有深远的影响，例如为司库制定最佳决策，最佳的商品采购或水力发电厂的优化。作为副产品，预期与我们社会紧急挑战有关的基于目标的投资或资产责任管理（ALM）的有趣方面是与我们的社会遇到的。我们说明了在风格化情况下该方法的潜力。
To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon. This article presents the key notions of Deep Asset Liability Management (Deep~ALM) for a technological transformation in the management of assets and liabilities along a whole term structure. The approach has a profound impact on a wide range of applications such as optimal decision making for treasurers, optimal procurement of commodities or the optimisation of hydroelectric power plants. As a by-product, intriguing aspects of goal-based investing or Asset Liability Management (ALM) in abstract terms concerning urgent challenges of our society are expected alongside. We illustrate the potential of the approach in a stylised case.
