Ruicheng Liu

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

S3 B2-A28 Nanyang Avenue

Singapore, 639798

Singapore

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Scholarly Papers (1)

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Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach

Number of pages: 35 Posted: 17 Jul 2020
Ruicheng Liu and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
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Abstract:

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Systemic risk measure, Machine learning, Cross-sectional measures, Conditional capital shortfall, Marginal expected shortfall (MES), SRISK