 | Surrogate Data Models: Interpreting Large-scale Machine Learning Crisis Prediction Models Author/Editor: Jorge A Chan-Lau, Ruofei Hu, Maksym Ivanyna, Ritong Qu, Cheng Zhong. Release Date:February, 2023 Machine learning models are becoming increasingly important in the prediction of economic crises. The models, however, use datasets comprising a large number of predictors (features) which impairs more...
| Price: $20.00
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| Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk Author/Editor: Jorge A Chan-Lau. Release Date:May, 2021
| Price: $18.00
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| Hang in There: Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures Author/Editor: Jorge A Chan-Lau, Yunhui Zhao. Release Date:December, 2020 The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a more...
| Price: $18.00
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| UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification Author/Editor: Jorge A Chan-Lau, Ran Wang. Release Date:November, 2020 We introduce unFEAR, Unsupervised Feature Extraction Clustering, to identify economic crisis regimes. Given labeled crisis and non-crisis episodes and the corresponding features values, unFEAR uses more...
| Price: $18.00
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| ABBA: An Agent-Based Model of the Banking System Author/Editor: Jorge A Chan-Lau. Release Date:June, 2017 A thorough analysis of risks in the banking system requires incorporating banks’ inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the more...
| Price: $18.00
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| Variance Decomposition Networks : Potential Pitfalls and a Simple Solution Author/Editor: Jorge A Chan-Lau. Release Date:May, 2017 Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their more...
| Price: $18.00
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| Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis Author/Editor: Jorge A Chan-Lau, Weimin Miao, Ken Miyajima, Jongsoon Shin. Release Date:April, 2017 Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia more...
| Price: $18.00
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| Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis Author/Editor: Jorge A. Chan-Lau, Estelle X. Liu, Jochen M. Schmittmann. Release Date:July, 2012 This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened more...
| Price: $18.00
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| Dynamic Loan Loss Provisioning : Simulations on Effectiveness and Guide to Implementation Author/Editor: Torsten Wezel, Jorge A. Chan-Lau, Francesco Columba. Release Date:May, 2012 This simulation-based paper investigates the impact of different methods of dynamic provisioning on bank soundness and shows that this increasingly popular macroprudential tool can smooth more...
| Price: $18.00
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 | Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? A Study of the Chilean Banking System Author/Editor: Jorge A. Chan-Lau. Release Date:May, 2012 Dynamic provisions could help to enhance the solvency of individual banks and reduce procyclicality. Accomplishing these objectives depends on country-specific features of the banking system, more...
| Price: $18.00
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