2019 IEEE International Conference on Data Mining (ICDM), 2019
Since the financial crisis in late 2008-2009, several global regulatory authorities have mandated... more Since the financial crisis in late 2008-2009, several global regulatory authorities have mandated stress-testing exercises to evaluate the potential capital shortfalls & systemic impacts that large banks may face during adverse economic conditions. Thus, having the ability to analyze economic conditions & banking performance profiles together to determine relationships among their respective features may provide insights for stress testing tasks. In this paper, we propose an Integrated Multimodal Bank Stress Test Prediction (IMBSTP) model framework consisting of a two-stages; (1) economic conditions estimator to approximate joint representation among the exogenous factors using generative models, (2) bank capital & loss forecaster to project stress test measures based on dimensional & temporal features selected from the exogenous economic conditions & banking performance profiles using a dual-attention recurrent neural network. Extensive experimentation is performed on historical economic conditions & consolidated financial statements of U.S. bank holdings companies to show the effectiveness of our approach when compared to state-of-the-art baseline methods.
The climate change phenomenon is widely understood to be magnified by harmful greenhouse gases (G... more The climate change phenomenon is widely understood to be magnified by harmful greenhouse gases (GHGs) that are by-products of emissions yielded from advances in human engineering in the energy, technology, transportation, and land development industries. Effectively, the pollution that is being generated from human activities is actively contributing to the imbalance in the planet’s climate, therefore creating the scenario where human prosperity may be severely hindered in the near future. Global industrial incentives, regulations, and policies have been formed to mitigate the climate change phenomenon in the form of monetized financial instruments that can help manage the amount of global pollution permitted, financial climate risk disclosures that keep investors inf ...
2019 IEEE International Conference on Data Mining (ICDM), 2019
Since the financial crisis in late 2008-2009, several global regulatory authorities have mandated... more Since the financial crisis in late 2008-2009, several global regulatory authorities have mandated stress-testing exercises to evaluate the potential capital shortfalls & systemic impacts that large banks may face during adverse economic conditions. Thus, having the ability to analyze economic conditions & banking performance profiles together to determine relationships among their respective features may provide insights for stress testing tasks. In this paper, we propose an Integrated Multimodal Bank Stress Test Prediction (IMBSTP) model framework consisting of a two-stages; (1) economic conditions estimator to approximate joint representation among the exogenous factors using generative models, (2) bank capital & loss forecaster to project stress test measures based on dimensional & temporal features selected from the exogenous economic conditions & banking performance profiles using a dual-attention recurrent neural network. Extensive experimentation is performed on historical economic conditions & consolidated financial statements of U.S. bank holdings companies to show the effectiveness of our approach when compared to state-of-the-art baseline methods.
The climate change phenomenon is widely understood to be magnified by harmful greenhouse gases (G... more The climate change phenomenon is widely understood to be magnified by harmful greenhouse gases (GHGs) that are by-products of emissions yielded from advances in human engineering in the energy, technology, transportation, and land development industries. Effectively, the pollution that is being generated from human activities is actively contributing to the imbalance in the planet’s climate, therefore creating the scenario where human prosperity may be severely hindered in the near future. Global industrial incentives, regulations, and policies have been formed to mitigate the climate change phenomenon in the form of monetized financial instruments that can help manage the amount of global pollution permitted, financial climate risk disclosures that keep investors inf ...
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Papers by Farid Razzak