标题： 使用神经网络评估资产-负债风险 显示英文标题

标题： Assessing asset-liability risk with neural networks

摘要： 我们引入一种神经网络方法，用于评估给定时间段内资产和负债组合的风险。 这需要在后续时间的世界状态条件下对组合进行条件估值，如果组合包含结构化产品或复杂保险合同，而这些产品无法得到闭式估值公式，则这个问题尤其具有挑战性。 我们在银行和保险的不同示例中展示了该方法。 我们关注风险价值和预期亏损，但该方法也适用于其他风险度量。 显示英文摘要

摘要： We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We illustrate the method on different examples from banking and insurance. We focus on value-at-risk and expected shortfall, but the approach also works for other risk measures.