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RNN-GAN MARKET RISK MANAGEMENT SYSTEM USING RNN-GAN SIMULATION
RNN-GAN MARKET RISK MANAGEMENT SYSTEM USING RNN-GAN SIMULATION
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机译：排名增益市场风险管理系统灾难级别模拟
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摘要
A market risk management system and method using RNN-GAN simulation are disclosed. A market risk management method performed by a market risk management system according to an embodiment includes: setting risk management data using past price data of financial products for calculating Value at Risk; inputting and learning the past price data of the financial product into a simulation model generated for market risk management; and calculating the value at risk based on the confidence interval of the value at risk included in the set risk management data by exploring the return distribution of the target period using the future time series data obtained through the learning. .
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