Top down stress testing: an application of adaptive lasso to forecasting credit loss rates

T Blom - 2015 - studenttheses.uu.nl
The aim of this thesis is to determine the data requirements and feasibility of data-driven top-
down stress testing for credit loss rates. To that end, we use the Adaptive Lasso method to …

Oracle inequalities for convex loss functions with nonlinear targets

M Caner, AB Kock - Econometric Reviews, 2016 - Taylor & Francis
This article considers penalized empirical loss minimization of convex loss functions with
unknown target functions. Using the elastic net penalty, of which the Least Absolute …