An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
Heng Z. Chen
| Year of publication: |
2021
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|---|---|
| Authors: | Chen, Heng Z. |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 17.2021, 3, p. 141-161
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| Subject: | interpretable machine learning model | constrained neural network | time series autoregressive model | portfolio credit loss forecasting | CCAR scenario stress testing | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Theorie | Theory | Kreditrisiko | Credit risk | Künstliche Intelligenz | Artificial intelligence | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2021.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012816950