IMF Publications by Author
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Jorge A Chan-Lau:
2024
Title: Monitoring Privately-held Firms' Default Risk in Real Time: A Signal-Knowledge Transfer Learning Model
Series: Working Paper No. 2024/115
Date: June 7, 2024
Subject: Credit risk Debt default External debt Financial regulation and supervision Financial sector policy and analysis Financial statements Public financial management (PFM) Solvency
2023
Title: Surrogate Data Models: Interpreting Large-scale Machine Learning Crisis Prediction Models
Series: Working Paper No. 2023/041
Date: February 24, 2023
2021
Title: Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk
Series: Working Paper No. 2021/143
Date: May 20, 2021
Subject: Economic sectors Financial crises
2020
Title: Hang in There: Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures
Series: Working Paper No. 2020/285
Date: December 18, 2020
Subject: Economic sectors Financial crises
Title: UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification
Series: Working Paper No. 2020/262
Date: November 25, 2020
Subject: Early warning systems Economic and financial statistics Financial crises Financial statistics Machine learning Technology
2017
Title: ABBA: An Agent-Based Model of the Banking System
Series: Working Paper No. 2017/136
Date: June 9, 2017
Subject: Asset and liability management Banking Capital adequacy requirements Commercial banks Financial institutions Financial regulation and supervision Liquidity Loans Monetary policy Reserve requirements
Title: Bottom-Up Default Analysis of Corporate Solvency Risk: An Application to Latin America
Series: Working Paper No. 2017/133
Date: June 8, 2017
Subject: Asset and liability management Banking Commercial banks Commodity prices Corporate sector Economic sectors Financial institutions Liquidity indicators Liquidity management Loans Prices
Title: Lasso Regressions and Forecasting Models in Applied Stress Testing
Series: Working Paper No. 2017/108
Date: May 5, 2017
Subject: Central bank policy rate Consumer price indexes Financial institutions Financial services Foreign exchange Nominal effective exchange rate Prices Real effective exchange rates Treasury bills and bonds
Title: Variance Decomposition Networks: Potential Pitfalls and a Simple Solution
Series: Working Paper No. 2017/107
Date: May 4, 2017
Subject: Banking Commercial banks Econometric analysis Financial institutions Financial sector policy and analysis Insurance Insurance companies Systemic risk Vector autoregression
Title: Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis
Series: Working Paper No. 2017/097
Date: April 26, 2017
Subject: Corporate sector Currencies Economic sectors External debt Financial regulation and supervision Foreign exchange Hedging Money