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Paper / 2023SMQ / 148337697370049
On the use of artificial intelligence in financial regulations and the impact on financial stability
Andreas Uthemann / Jon Danielsson
financial stability / systemic riskResource overview

On the use of artificial intelligence in financial regulations and the impact on financial stability

Paper2023

by Andreas Uthemann, Jon Danielsson

Tags
financial stabilitysystemic risk

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  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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