Showing 31 - 40 of 173
Lending to Small and Medium Enterprises (SME) is facilitated by the availability of advanced Machine Learning (ML) methods, embedded in financial technologies, which can accurately predict financial performance from the many data sources available. However, despite their high predictive...
Persistent link: https://www.econbiz.de/10013218224
Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) arise from...
Persistent link: https://www.econbiz.de/10012843113
A key point in the application of data science models is the evaluation of their accuracy. Statistics and machine learning have provided, over the years, a number of summary measures aimed at measuring the accuracy of a model in terms of its predictions, such as the Area under the ROC curve and...
Persistent link: https://www.econbiz.de/10012845652
The paper proposes an explainable AI model that can be used in credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing credit scoring platforms. The model applies similarity networks to Shapley values, so that AI predictions are grouped...
Persistent link: https://www.econbiz.de/10012845786
Cyber incidents are becoming more sophisticated and their costs difficult to quantify. Using a unique database of more than 100,000 cyber events across sectors, we document the characteristics of cyber incidents. Cyber costs are higher for larger firms and for incidents that impact several...
Persistent link: https://www.econbiz.de/10012832713
This paper extends the extreme downside correlations and hedge (EDC and EDH) methodology of Harris et al. (2019) to model the tail risk co-movement of financial assets under severe firm-level and market conditions. The model is applied to analyze both systematic and systemic exposures in the...
Persistent link: https://www.econbiz.de/10012835184
We construct a network-based turbulence score that proves useful for analyzing the relationship between financial interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to financial turbulence. We apply our measure to study...
Persistent link: https://www.econbiz.de/10012835937
We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...
Persistent link: https://www.econbiz.de/10012866642
The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the...
Persistent link: https://www.econbiz.de/10012839210
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19. The model is a Poisson autoregression, and can reveal whether contagion has a trend, and where is each country on that trend. Model results are presented from the observed series of China,...
Persistent link: https://www.econbiz.de/10012839877