Scenario Reduction in Debt Simulations Using Recurrent Autoencoders : Finding Meaningful Patterns in Stochastic Processes
This thesis studies how improvements can be made to a simulation model used to analyse debt portfolios. Today, the simulation model needs to evaluate a portfolio over a large sample of scenarios to get accurate results. This can be time-consuming if the portfolios consist of many different and compl...
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| Format: | Others |
| Language: | English |
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KTH, Skolan för elektroteknik och datavetenskap (EECS)
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-301308 |