Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
This paper examines the use of #machinelearning methods in the context of #banks' #capitalrequirements, specifically the internal Ratings...
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6 mai 2022
A Stochastic Climate Model -- An approach to calibrate the Climate-Extended Risk Model (CERM)
"These parameters can be calibrated using public data. This new approach means not only to evaluate climate risks without picking any...
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