An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
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 | Theorie | Theory | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Zeitreihenanalyse | Time series analysis |
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