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 …
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
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 …
unknown target functions. Using the elastic net penalty, of which the Least Absolute …