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Review Open access Sep 2026

Integrating Statistical Models and Machine Learning for Derivatives Portfolio Valuation and Risk Assessment

Regulatory scrutiny of banks’ internal models has intensified, demanding improvements in quantitative risk methodologies and the implementation of new regulatory measures. Repeated portfolio revaluation makes these calculations computationally challenging, notably under the Fundamental Review of the Trading Book (FRTB)...

N. Lehdili, Harold Guéneau, P. Oswald et al. · 0 citations

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