Lasso Regressions and Forecasting Models in Applied Stress Testing (Record no. 163155)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02223nam a22003614a 4500 |
| 001 - CONTROL NUMBER | |
| control field | WPIEA2017108 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IMF |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190405192735.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2017 dcu o i00 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1475599021 : |
| Terms of availability | 18.00 USD |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781475599022 |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 1018-5941 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.5089/9781475599022.001 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (IMF)WPIEA2017108 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DcWaIMF |
| Language of cataloging | eng |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chan-Lau, Jorge A. |
| 245 10 - TITLE STATEMENT | |
| Title | Lasso Regressions and Forecasting Models in Applied Stress Testing |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | Jorge A Chan-Lau. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C. : |
| Name of publisher, distributor, etc | International Monetary Fund, |
| Date of publication, distribution, etc | 2017. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (34 p.) |
| 490 1# - SERIES STATEMENT | |
| Series statement | IMF Working Papers |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are well suited for building forecasting models when the number of potential covariates is large, and the number of observations is small or roughly equal to the number of covariates. This paper presents a conceptual overview of lasso regressions, explains how they fit in applied stress tests, describes its advantages over other model selection methods, and illustrates their application by constructing forecasting models of sectoral probabilities of default in an advanced emerging market economy. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on print version record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economic Forecasting |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Emerging Markets |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Forecasting Models |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Regression Analysis |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Stress Testing |
| Source of heading or term | imf |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print Version: |
| Main entry heading | Chan-Lau, Jorge A. |
| Title | Lasso Regressions and Forecasting Models in Applied Stress Testing |
| Place, publisher, and date of publication | Washington, D.C. : International Monetary Fund,2017 |
| International Standard Book Number | 9781475599022 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | IMF Working Papers |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.imf.org/view/IMF001/24268-9781475599022/24268-9781475599022/24268-9781475599022.xml">http://elibrary.imf.org/view/IMF001/24268-9781475599022/24268-9781475599022/24268-9781475599022.xml</a> |
| Public note | IMF e-Library |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://www.imfbookstore.org/IMFORG/9781475599022">http://www.imfbookstore.org/IMFORG/9781475599022</a> |
| Public note | IMF Book Store |
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