With the introduction of expected credit loss based impairment methodology banks stress testing programs need to include forecasts of stressed impairment losses as an important component in the firmwide stress testing programs. The forecasts of stressed impairment losses are comprised of...

Using high-quality nation-wide social security data combined with machine learning tools, we develop predictive models of income support receipt intensities for any payment enrolee in the Australian social security system between 2014 and 2018. We show that off-the-shelf machine learning...