Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques
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More about this item
Keywords
Regression; Machine Learning; Time Series Analysis; Bank Capital; Stress Test; Net Interest Margin; Forecasting; PPNR; CCAR;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-07-29 (Big Data)
- NEP-CMP-2019-07-29 (Computational Economics)
- NEP-FOR-2019-07-29 (Forecasting)
- NEP-PAY-2019-07-29 (Payment Systems and Financial Technology)
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