RBC applies ‘deep hedging’ to stress scenarios

RBC Capital Markets is testing a type of machine studying referred to as deep hedging to estimate buying and selling losses throughout a world market shock, a part of the Federal Reserve’s annual supervisory Comprehensive Capital Analysis and Review (CCAR) for big banks.  

The financial institution discovered that deep hedging produces extra correct estimates of the buying and selling losses that will be incurred in a stress situation when put next with conventional modelling methods.

“Machine studying may help enhance accuracy of stress
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