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Credit Portfolio correlation sensitivity with interpretable generative NN

The dataset contains n = 206 correlation matrices of the monthly log-returns of M = 44 equity indices, calculated on their monthly time series from February 1997 to June 2022, using overlapping rolling windows of size 100 months.

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Cite this as

Sergio Caprioli, Emanuele Cagliero, Riccardo Crupi (2024). Dataset: Credit Portfolio correlation sensitivity with interpretable generative NN. https://doi.org/10.57702/64wp8m3a

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Additional Info

Field	Value
Created	December 16, 2024
Last update	December 16, 2024
Defined In	https://doi.org/10.48550/arXiv.2309.08652
Author	Sergio Caprioli
More Authors	Emanuele Cagliero Riccardo Crupi