Скачать или смотреть Reverse Stress Testing Using AI with Microsoft & Axioma

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Andrew Comas, Digital Advisor, Microsoft

Iulian Cotoi, Head of Analytics, Axioma

Abstract:

After the Great Financial Crisis, reverse stress testing was strongly endorsed as a means of evaluating the solvency of a firm. Reverse stress tests can identify economic scenarios that threaten the survival of a firm and can also avoid manager’s bias. But they should also work in high-dimensional spaces, so they often require a huge computational budget. To address the computational expense of reverse stress testing, Axioma, in collaboration with Microsoft , present an AI-enhanced approach to the identification of reverse-stress-test scenarios.