Machine-learning-enhanced systemic risk measure: a two-step supervised learning approach

This paper explores ways to improve the existing systemic risk measures by incorporating machine learning algorithms into the measurement. We aim to overcome the shortcomings of existing methods that rely on restricted modeling and are difficult to tap into various data resources. To this end, this...

Full description

Saved in:
Bibliographic Details
Main Authors: Liu, Ruicheng, Pun, Chi Seng
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2022
Subjects:
Online Access:https://hdl.handle.net/10356/161971
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English

Similar Items