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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.

Data and Resources

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

DOI retrieved: December 16, 2024

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
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Emanuele Cagliero
Riccardo Crupi