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Found 2 papers, 1 papers with code
Mod-Poisson approximation schemes: Applications to credit risk
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes.
Universal approximation of credit portfolio losses using Restricted Boltzmann Machines
We introduce a new portfolio credit risk model based on Restricted Boltzmann Machines (RBMs), which are stochastic neural networks capable of universal approximation of loss distributions.
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