Model Risk of Bucketing Banks Based on Systemic Risk Measures Using K-Means
Economic Policy, Sustainability, and Social Challenges in a Global Context: 44ECO 2024
Systemic risk measures (SRMs) are designed to quantify a financial institution’s contribution to overall financial systemic stress. Regulatory bodies use these measures to cluster banks with similar risk profiles, applying appropriate tools for managing systemic stress. This clustering approach is emulated using k-means algorithm on…