Especially after the recent financial crisis that started in mortgage markets and spread all over international markets, in order to better monitor financial risks, the importance and use of stress testing has increased. In this study, top-down macro stress testing from a supervisory perspective...

Volatility in the financial markets is commonplace and it comes with a cost. One of these costs is abrupt and huge drop in stock price that is known as stock price crash. To model this, we propose a new machine-learning based stock crash risk measure using minimum covariance determinant (MCD) to...