28 juil. 2022Should Bank Stress Tests Be Fair?"We argue that simply pooling data across banks treats banks equally but is subject to two deficiencies: it may distort the impact of...
15 juil. 2022Constructing Early Warning Indicators for Banks Using Machine Learning Models"This research contributes to bank liquidity risk management by employing supervised machine learning models to provide banks with early...
1 juin 2022A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups"... we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose...
23 mai 2022Deep Learning in Business Analytics: A Clash of Expectations and Reality"... DL [deep learning] does not outperform traditional ML [machine learning] models in the case of structured datasets with fixed-length...