This paper tests the hypothesis that stress tests are primarily a function of the fundamental financial condition and operating environment of individual banks, rather than alternative adverse economic and financial scenarios imposed by regulators. We develop a novel early warning system based...

This paper develops a novel measure of systemic risk that combines mapping technology and regression methods. Self-organizing maps (SOM) and lasso logistic regressions are employed to estimate default probabilities for individual U.S. commercial banks from 2001 to 2017. Subsequently, these...

This paper utilizes neural network mapping technology to assess the dynamic nature of systemic risk over time in the banking industry. We combine the nonparametric method of trait recognition with self-organizing maps (SOMs) to generate yearly pictures of the 16 largest U.S. banks' financial...