계산 금융

Use a vector error-correction model as a linear alternative to the Smets-Wouters DSGE macroeconomic model.

Outperform the traditional BSM approach using an optimal option hedging policy.

Use Deep Learning Toolbox™ to train a network and obtain predictions on barrier option prices with a Heston model.

Construct trading strategies using a deep learning model and then backtest the strategies using the Financial Toolbox™ backtesting framework. The example uses Deep Learning Toolbox™ to train a predictive model from a set of time series and demonstrates the steps necessary to convert the model output into trading signals. It builds a variety of trading strategies that backtest the signal data over a 5-year period.

Train a credit risk for probability of default (PD) prediction using a deep neural network. The example also shows how to use the locally interpretable model-agnostic explanations (LIME) and Shapley values interpretability techniques to understand the predictions of the model. In addition, the example analyzes model predictions for out-of-sample values and performs a stress-testing analysis.

Generate macroeconomic scenarios and perform expected credit loss (ECL) calculations for a portfolio of loans. The workflow in this example shows important computational steps required to estimate provisions for credit losses following regulations such as IFRS 9 (Risk Management Toolbox) or CECL (Risk Management Toolbox). In practice, the determination of loan provisions is a much more involved operational program requiring the collaboration of multiple departments in an institution. The goal of this example is to show useful computational tools that can support this process.