Christopher G. Watson
Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financidoi:10.2139/ssrn.3219139Hué, SullivanLucotte, YannickTokpavi, SessiSocial Science Electronic Publishing...
The aim of this paper is to propose a new network measure of systemic risk contributions that combines the pair-wise Granger causality approach with the leave-one-out concept. This measure is based on a conditional Granger causality test and consists of measuring how far the proportion of statis...
leave-one-out approachtail riskcontagionThis paper introduces several measures of systemic fragility of euro area banks and sovereigns using a procedure for ... D Radev - 《Journal of Risk》 被引量: 0发表: 2022年 Bank Stability and Systemic Risk Measurement Finally, it measures the contribution...
Therefore, this paper adopts a new approach to calculate the contribution degree of each insurance company to systemic risk based on z-Score index and leave-one-out method, so as to identify systemically important insurance companies. The advantage of this method is that it only needs the ...
In this work we propose an unsupervised statistical approach to learn structures of this kind of data. The central ingredient in our model is the introduction of the generalized Dirichlet distribution as a prior to the multinomial. An estimation algorithm, based on leave-one-out likelihood and ...
This paper introduces lookout, a new approach to detect outliers using leave-one-out kernel density estimates and extreme value theory. Outlier detection methods that use kernel density estimates generally employ a user defined parameter to determine the bandwidth. Lookout uses persistent homology to ...
A virtual leave one out approach dealing with over fitting phenomenon and allowing the selection of the optimal neural network architecture was used. The ... H Alibi,F Fayala,A Jemni,... - 《Journal of Applied Sciences》 被引量: 2发表: 2012年 Comment on hess-2022-329 Anonymous Referee ...
Leave-pair-out (LPO) CV is an approach that is independent of random sampling but based on c-statistics calculated within folds [1, 27]. With LPO CV, each pair of observations with contrary outcomes is excluded from the data and, in turn, a model is fitted on the remaining n −...
dependency. The search space paradox was resolved by focusing on a smaller design space, using the piecemeal approach [16]. Functional, fluorescent sequences were found when the number of designed positions was 15 or fewer, whether the library complexity was high, low, or medium. This sweet-...