A proximity based macro stress testing framework
In this a paper a non-linear macro stress testing methodology with focus on early warning is developed. The methodology builds on a variant of Random Forests and its proximity measures. It is embedded in a framework, in which naturally defined contagion and feedback effects transfer the impact of st...
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| Format: | Article |
| Language: | English |
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De Gruyter
2016-11-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2016-0015 |