Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions

Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US banks can be explained by a series of balance-s...

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Bibliographic Details
Published in:	Administrative Sciences
Main Author:	Cristina Zeldea
Format:	Article
Language:	English
Published:	MDPI AG 2020-08-01
Subjects:	systemic risk Marginal Expected Shortfall Random Forest regression balance-sheet data
Online Access:	https://www.mdpi.com/2076-3387/10/3/52

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