OMB Individually Reported
Stress Testing Scenarios with Deep Learning
Exact public inventory row
Description
Pilot project to explore neural-network based machine learning methods for creating stress testing scenarios and estimating PnL (profit and loss) on FO (Futures and Options) portfolios based on the current/recent market states/conditions.
Automation level / stage
a) Pre-deployment – The use case is in a development or acquisition status.
Controls / human review
ATO: Not reported; PIA: Not published