DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks.
Georgios FatourosGeorgios MakridisDimitrios KotiosJohn SoldatosMichael FilippakisDimosthenis KyriazisPublished in: Digital finance (2022)
The online version contains supplementary material available at 10.1007/s42521-022-00050-0.