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

• المؤلفون الرئيسيون: Liu, Ruicheng, Pun, Chi Seng
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Science::Mathematics; Systemic Risk Measure; Machine Learning
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/161971
• المؤسسة: Nanyang Technological University

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...