Heng Chen, HSBC and Northwestern University
Neural network (NN) models represent an opportunity to improve the credit loss forecasting and stress testing in Comprehensive Capital Analysis and Review (CCAR), which can be estimated as a function of macroeconomic variables using ARIMA-type models. For reference, please refer to: Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Ranges of Current Best Practices, 2013. However, there remain challenges for the application of NN models such as model interpretability per regulatory requirements and a tendency to overfitting. This session will discuss this research and highlight the following:
Recorded: 15 Oct 2019
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