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

Ruicheng Liu, Chi Seng Pun

Year of publication:	2022
Authors:	Liu, Ruicheng ; Pun, Chi Seng
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 136.2022, p. 1-17
Subject:	Systemic risk measure \| Machine learning \| Cross-sectional measures \| Conditional capital shortfall \| Marginal expected shortfall (MES) \| SRISK \| Systemrisiko \| Systemic risk \| Risikomaß \| Risk measure \| Finanzkrise \| Financial crisis \| Messung \| Measurement \| Künstliche Intelligenz \| Artificial intelligence \| Theorie \| Theory

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