Nowcasting Networks

1 code implementation • 27 Nov 2020 • Marc Chataigner, Stephane Crepey, Jiang Pu

The latter is meant in a broad sense encompassing completion of gridded values, interpolation, or outlier detection, in the context of financial time series of curves or surfaces (also applicable in higher dimensions, at least in theory).

Outlier Detection Time Series +1

XVA Analysis From the Balance Sheet

no code implementations • 1 Sep 2020 • Claudio Albanese, Stephane Crepey, Rodney Hoskinson, Bouazza Saadeddine

XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis.