Narrow search
Showing 1 - 3 of 3
Cover Image
Underdetermination and variability of the results in macro-to-micro stress tests : a machine learning approach
Denev, Alexander; Angelini, Orazio - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 130-149
Persistent link: https://www.econbiz.de/10011670662
Cover Image
Underdetermination and Variability of the Results in Macro-to-Micro Stress Tests – A Machine Learning Approach
Denev, Alexander - 2017
We investigate the impact of the uncertainties surrounding the modelling process when conducting a stress test. These uncertainties are due to several choices left to the modeller with regards to, among others, the variables to select, the data samples used for the calibration of the different...
Persistent link: https://www.econbiz.de/10012967706
Cover Image
A probabilistic graphical models approach to model interconnectedness
Denev, Alexander; Papaioannou, Adrien; Angelini, Orazio - In: International journal of risk assessment and management … 23 (2020) 2, pp. 119-133
Persistent link: https://www.econbiz.de/10012256731