The repo intends to release code for our Master Thesis Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment. The code can be used to
- Produce augmented yield data from existing yield data
- Generate expected positive exposure (EPE) from yield data
- Train a GRU neural network to reproduce EPE from yield data
Clone the project and collect yield data to run the code.
Isabelle Frodé & Viktor Sambergs
Special thanks to our supervisors Magnus Wiktorsson at Lund University and Shengyao Zhu at Nordea.