Forecasting Net Charge-Off Rates of Banks: A PLS Approach

DOI10.1142/9789811202391_0063zbMATH Open1454.91336OpenAlexW2801279854MaRDI QIDQ5139488

Sunghoon Joo, Stevan Maglic, Kangbok Lee, Xuan Shen, Hyeongwoo Kim, James R. Barth

Publication date: 9 December 2020

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0063

zbMATH Keywords

partial least squaresprincipal component analysisdynamic factorsout-of-sample forecastsnet charge-off rates

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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