A proximity based macro stress testing framework

DOI10.1515/DEMO-2016-0015MaRDI QIDQ727657zbMATH OpenOpenAlexFDO

Authors Boris Waelchli

Publication date 20 December 2016

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.1515/demo-2016-0015

zbMATH Keywords

big dataearly warning indicatorsmachine learningrandom forestsstress testing

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Learning and adaptive systems in artificial intelligence (68T05)

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Cites work

• Analysis of a random forests model
• Products of Indecomposable, Aperiodic, Stochastic Matrices
• Risk assessment for banking systems
• The asymptotic theory of permutation statistics.

Cited in

(2)

• Backtesting macroprudential stress tests
• A financially justifiable and practically implementable approach to coherent stress testing

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