RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based...
RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning
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Basel: MDPI AG
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Language
English
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Basel: MDPI AG
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Contents
Stress testing, an essential part of the risk management toolkit of financial institutions, refers to the evaluation of a portfolio’s potential risk under an extreme, but plausible, scenario. The most representative method for performing stress testing is historical scenario simulation, which aims to evaluate historical adverse market events on the...
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Full title
RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning
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TN_cdi_proquest_journals_2829814242
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2829814242
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ISSN
1911-8074,1911-8066
E-ISSN
1911-8074
DOI
10.3390/jrfm16060285
