We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

We propose a model selection methodology for credit default modeling in the presence of a large number of variables and candidate models. Accurate credit default models are critical to financial institutions for making effective underwriting and pricing decisions in terms of profit maximization...