Lasso Regressions And Forecasting Models In Applied Stress Testing
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Lasso Regressions and Forecasting Models in Applied Stress Testing
Author: Mr.Jorge A. Chan-Lau
language: en
Publisher: International Monetary Fund
Release Date: 2017-05-08
Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are well suited for building forecasting models when the number of potential covariates is large, and the number of observations is small or roughly equal to the number of covariates. This paper presents a conceptual overview of lasso regressions, explains how they fit in applied stress tests, describes its advantages over other model selection methods, and illustrates their application by constructing forecasting models of sectoral probabilities of default in an advanced emerging market economy.
Smart Trends in Computing and Communications
This book gathers high-quality papers presented at the Eighth International Conference on Smart Trends in Computing and Communications (SmartCom 2024), organized by Global Knowledge Research Foundation (GR Foundation) from 12 to 13 January 2024 in Pune, India. It covers the state-of-the-art and emerging topics in information, computer communications, and effective strategies for their use in engineering and managerial applications. It also explores and discusses the latest technological advances in, and future directions for, information and knowledge computing and its applications.
IMF Research Bulletin, Summer 2017
Author: International Monetary Fund. Research Dept.
language: en
Publisher: International Monetary Fund
Release Date: 2017-08-11
The Summer 2017 issue of the IMF Research Bulletin highlights new research such as recent IMF Working Papers and Staff Discussion Notes. The Research Summaries are “Structural Reform Packages, Sequencing, and the Informal Economy (by Zsuzsa Munkacsi and Magnus Saxegaard) and “A Broken Social Contract, Not High Inequality Led to the Arab Spring” (by Shantayanan Devarajan and Elena Ianchovichina). The Q&A section features “Seven Questions on Fintech” (by Tommaso Mancini-Griffoli). The Bulletin also includes information on recommended titles from IMF Publications and the latest articles from the IMF Economic Review.