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-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …
Persistent link: https://www.econbiz.de/10013313452
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863