This paper investigates the application of Feature-Enriched Generative Adversarial Networks (FE-GAN) in financial risk management, with a focus on improving the estimation of Value at Risk (VaR) and Expected Shortfall (ES). FE-GAN enhances existing GANs architectures by incorporating an additional input sequence derived from preceding data to improve model performance. Two specialized GANs models, the Wasserstein Generative Adversarial Network (WGAN) and the Tail Generative Adversarial Network (Tail-GAN), were evaluated under the FE-GAN framework. The results demonstrate that FE-GAN significantly outperforms traditional architectures in both VaR and ES estimation. Tail-GAN, leveraging its task-specific loss function, consistently outperforms WGAN in ES estimation, while both models exhibit similar performance in VaR estimation. Despite these promising results, the study acknowledges limitations, including reliance on highly correlated temporal data and restricted applicability to other domains. Future research directions include exploring alternative input generation methods, dynamic forecasting models, and advanced neural network architectures to further enhance GANs-based financial risk estimation.
A Wasserstein GAN-based climate scenario generator for risk management and insurance: the case of soil subsidence
Biostatistiques et Processus Spatiaux (BioSP), INRAE, Avignon, France（生物统计与空间过程（BioSP），法国国家农业食品与环境研究委员会（INRAE），法国阿维尼昂）；CREST, CNRS, Ecole polytechnique, Groupe ENSAE-ENSAI, ENSAE Paris, Institut Polytechnique de Paris, Palaiseau, France（法国国家科学研究中心（CNRS）、巴黎高等理工学院（École polytechnique）、ENSAE-ENSAI小组、巴黎ENSAE、巴黎理工学院（Institut Polytechnique de Paris）、法国帕莱索）；Fondation du Risque, Institut Louis Bachelier, Paris, France（风险基金会、路易·巴舍利尔研究所（Institut Louis Bachelier）、法国巴黎）
Institute for Development and Research in Banking Technology（银行技术发展与研究所）；University of Hyderabad（海得拉巴大学）；Mathworks（MathWorks公司）
Churn prediction in credit cards, fraud detection in insurance, and loan default prediction are important analytical customer relationship management (ACRM) problems. Since frauds, churns and defaults happen less frequently, the datasets for these problems turn out to be naturally highly unbalanced. Consequently, all supervised machine learning classifiers tend to yield substantial false-positive rates when trained on such unbalanced datasets. We propose two ways of data balancing. In the first, we propose an oversampling method to generate synthetic samples of minority class using Generative …
Virginia Tech（弗吉尼亚理工大学）；Seattle Research Center, Innopeak Technology（Innopeak Technology 西雅图研究中心）
Model inversion (MI) attacks are aimed at reconstructing training data from model parameters. Such attacks have triggered increasing concerns about privacy, especially given a growing number of online model repositories. However, existing MI attacks against deep neural networks (DNNs) have large room for performance improvement. We present a novel inversion-specific GAN that can better distill knowledge useful for performing attacks on private models from public data. In particular, we train the discriminator to differentiate not only the real and fake samples but the soft-labels provided by t…
Universidad Nacional de Colombia（哥伦比亚国立大学）；King Fahd University of Petroleum and Minerals（法赫德国王石油与矿业大学）
Deep learning architectures have enriched data analytics in the geosciences, complementing traditional approaches to geological problems. Although deep learning applications in geosciences show encouraging signs, the actual potential remains untapped. This is primarily because geological datasets, particularly petrography, are limited, time-consuming, and expensive to obtain, requiring in-depth knowledge to provide a high-quality labeled dataset. We approached these issues by developing a novel deep learning framework based on generative adversarial networks (GANs) to create the first realisti…
Simon Fraser University（西蒙菲莎大学）；Adobe Research（奥多比研究院）；IIT Bombay（印度理工学院孟买分校）
We introduce a deep generative network for 3D shape detailization, akin to stylization with the style being geometric details. We address the challenge of creating large varieties of high-resolution and detailed 3D geometry from a small set of exemplars by treating the problem as that of geometric detail transfer. Given a low-resolution coarse voxel shape, our network refines it, via voxel upsampling, into a higher-resolution shape enriched with geometric details. The output shape preserves the overall structure (or content) of the input, while its detail generation is conditioned on an input …
University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
Increasing use of sensor data in intelligent transportation systems calls for accurate imputation algorithms that can enable reliable traffic management in the occasional absence of data. As one of the effective imputation approaches, generative adversarial networks (GANs) are implicit generative models that can be used for data imputation, which is formulated as an unsupervised learning problem. This work introduces a novel iterative GAN architecture, called Iterative Generative Adversarial Networks for Imputation (IGANI), for data imputation. IGANI imputes data in two steps and maintains the…
TU Kaiserslautern（凯泽斯劳滕工业大学）；German Research Center for Artificial Intelligence (DFKI)（德国人工智能研究中心）；Shahid Chamran University of Ahvaz（阿瓦兹沙希德·查姆兰大学）
Despite various breakthroughs in machine learning and data analysis techniques for improving smart operation and management of urban water infrastructures, some key limitations obstruct this progress. Among these shortcomings, the absence of freely available data due to data privacy or high costs of data gathering and the nonexistence of adequate rare or extreme events in the available data plays a crucial role. Here, Generative Adversarial Networks (GANs) can help overcome these challenges. In machine learning, generative models are a class of methods capable of learning data distribution to …
Prognostics and Health Management (PHM) is an emerging engineering discipline which is concerned with the analysis and prediction of equipment health and performance. One of the key challenges in PHM is to accurately predict impending failures in the equipment. In recent years, solutions for failure prediction have evolved from building complex physical models to the use of machine learning algorithms that leverage the data generated by the equipment. However, failure prediction problems pose a set of unique challenges that make direct application of traditional classification and prediction a…
Stanford University（斯坦福大学）；Center for Turbulence Research（湍流研究中心）
Generative Adversarial Networks (GANs) have been widely used for generating photo-realistic images. A variant of GANs called super-resolution GAN (SRGAN) has already been used successfully for image super-resolution where low resolution images can be upsampled to a $4\times$ larger image that is perceptually more realistic. However, when such generative models are used for data describing physical processes, there are additional known constraints that models must satisfy including governing equations and boundary conditions. In general, these constraints may not be obeyed by the generated data…
King’s College London（伦敦国王学院）；University of Warwick（华威大学）
The clinical management of several cardiovascular conditions, such as pulmonary hypertension, require the assessment of the right ventricular (RV) function. This work addresses the fully automatic and robust access to one of the key RV biomarkers, its ejection fraction, from the gold standard imaging modality, MRI. The problem becomes the accurate segmentation of the RV blood pool from cine MRI sequences. This work proposes a solution based on Fully Convolutional Neural Networks (FCNN), where our first contribution is the optimal combination of three concepts (the convolution Gated Recurrent U…
Melanoma is the most lethal type of skin cancer. Patients are vulnerable to mental health illnesses which can reduce the effectiveness of the cancer treatment and the patients adherence to drug plans. It is crucial to preserve the mental health of patients while they are receiving treatment. However, current art therapy approaches are not personal and unique to the patient. We aim to provide a well-trained image style transfer model that can quickly generate unique art from personal dermoscopic melanoma images as an additional tool for art therapy in disease management of melanoma. Visual art …
George Mason University（乔治梅森大学）；IBM Research（IBM研究院）
Inspired by the tremendous success of deep generative models on generating continuous data like image and audio, in the most recent year, few deep graph generative models have been proposed to generate discrete data such as graphs. They are typically unconditioned generative models which has no control on modes of the graphs being generated. Differently, in this paper, we are interested in a new problem named \emph{Deep Graph Translation}: given an input graph, we want to infer a target graph based on their underlying (both global and local) translation mapping. Graph translation could be high…
We introduce a novel method to unite deep learning with biology by which generative adversarial networks (GANs) generate transcriptome perturbations and reveal condition-defining gene expression patterns. We find that a generator conditioned to perturb any input gene expression profile simulates a realistic transition between source and target RNA expression states. The perturbed samples follow a similar distribution to original samples from the dataset, also suggesting these are biologically meaningful perturbations. Finally, we show that it is possible to identify the genes most positively a…
Oklahoma State University（俄克拉荷马州立大学）；University of Houston（休斯顿大学）
Investigating the causal relationships between characteristics and expressions plays a critical role in healthcare analytics. Effective synthesis for expressions using given characteristics can make great contributions to health risk management and medical decision-making. For example, predicting the resulting physiological symptoms on patients from given treatment characteristics is helpful for the disease prevention and personalized treatment strategy design. Therefore, the objective of this study is to effectively synthesize the expressions based on given characteristics. However, the mappi…
Consumer Transactions Simulation through Generative Adversarial Networks
Systems Research Institute, Polish Academy of Sciences（波兰科学院系统研究所）；Faculty of Mathematics and Information Science, Warsaw University of Technology（华沙理工大学数学与信息科学学院）；Faculty of Physics and Applied Computer Science, AGH University of Science and Technology（AGH科技大学物理与应用计算机科学学院）
University of California, Santa Barbara（加州大学圣巴巴拉分校）
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital allocations. Under this new framework, systemic risk measures can be interpreted as the minimal amount of cash that secures the aggregated system by allocating capital to the single institutions before aggregating the individual risks. This problem has no explicit solution except in very limited situations. Deep learning is increasingly receiving attention in financial modelings and risk management and we propose our d…
