Scenario generation for market risk models using generative neural networks

Solveig Flaig; Gero Junike

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arXiv · 2109.10072

Scenario generation for market risk models using generative neural networks

Solveig Flaig·Gero Junike

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Abstract

In this research, we show how to expand existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) to a whole internal market risk model - with enough risk factors to model the full band-width of investments for an insurance company and for a one year time horizon as required in Solvency 2. We demonstrate that the results of a GAN-based internal model are similar to regulatory approved internal models in Europe. Therefore, GAN-based models can be seen as a data-driven alternative way of market risk modeling.

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BibTeX RIS

Solveig Flaig, Gero Junike. 2021-09-21. Scenario generation for market risk models using generative neural networks. https://arxiv.org/abs/2109.10072

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