Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Universal approximation of credit portfolio losses using Restricted
  Boltzmann Machines   We introduce a new portfolio credit risk model based on Restricted Boltzmann
Machines (RBMs), which are stochastic neural networks capable of universal
approximation of loss distributions. We test the model on an empirical dataset
of default probabilities of 30 investment-grade US companies and we show that
it outperforms commonly used parametric factor copula models -- such as the
Gaussian or the t factor copula models -- across several credit risk management
tasks. In particular, the model leads to better out-of-sample fits for the
empirical loss distribution and more accurate risk measure estimations. We
introduce an importance sampling procedure which allows risk measures to be
estimated at high confidence levels in a computationally efficient way and
which is a substantial improvement over the Monte Carlo techniques currently
available for copula models. Furthermore, the statistical factors extracted by
the model admit an interpretation in terms of the underlying portfolio sector
structure and provide practitioners with quantitative tools for the management
of concentration risk. Finally, we show how to use the model for stress testing
by estimating stressed risk measures (e.g. stressed VaR) for our empirical
portfolio under various macroeconomic stress test scenarios, such as those
specified by the FRB's Dodd-Frank Act stress test.

19
The categories of this paper are: eess
0
The categories of this paper are: hep-ph
4
The categories of this paper are: cond-mat
8
The categories of this paper are: hep-ex
22
The categories of this paper are: chao-dyn
9
The categories of this paper are: nlin
24
The categories of this paper are: dg-ga
14
The categories of this paper are: math-ph
32
The categories of this paper are: atom-ph
1
The categories of this paper are: cs
28
The categories of this paper are: alg-geom
23
The categories of this paper are: solv-int
21
The categories of this paper are: adap-org
37
The categories of this paper are: supr-con
27
The categories of this paper are: comp-gas
15
The categories of this paper are: nucl-ex