An AI approach to measuring financial risk

An AI approach to measuring financial risk

AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here, we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ" role="presentation" style="box-sizing:...

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Bibliographic Details
Main Authors: YU, Lining, HARDLE, Wolfgang Karl, BORKE, Lukas, BENSCHOP, THIJS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Systemic risk
quantile regression
value at risk
lasso
parallel computing
financial risk meter
Artificial Intelligence and Robotics
Finance
Finance and Financial Management
Technology and Innovation
Online Access:https://ink.library.smu.edu.sg/skbi/7
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=skbi
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/skbi/7
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=skbi

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