Deep Learning-Based Method for Computing Initial Margin
نویسندگان
چکیده
Following the guidelines of Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions OTC markets. Currently, computation such collateral is performed following Standard Margin Model (SIMM) methodology. Focusing on a portfolio consisting an interest rate swap, we propose use Artificial Neural Networks (ANN) approximate value over its lifetime. The goal find optimal configuration structural hyperparameters, well analyze robustness network variations model parameters and swap features.
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ژورنال
عنوان ژورنال: Engineering proceedings
سال: 2021
ISSN: ['2673-4591']
DOI: https://doi.org/10.3390/engproc2021007041