Research
On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,291 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Feb 202419922001200920182026
3 results for “CECL”
Attributing Differences Between Forecast Runs to Input Changes, With Applications to CCAR and CECL Exercisesq-fin.RM

The paper analyzes methods to attribute forecast differences to input changes in CCAR and CECL.

problem Attributing forecast differences to specific input changes in CCAR and CECL processes.
method Formulates forecast-gap attribution as a cooperative game and examines several SHAP and gradient-based attribution methods.
result Comparison of attribution methods in terms of allocation rules, computational costs, and implementation requirements.
forecast attributionCCARCECLShapley valuesIntegrated Gradients
2026-08-05abs ↗pdf ↗
Stabilising Lifetime PD Models under Forecast Uncertaintyq-fin.RM

The paper stabilizes PD term structures under forecast uncertainty using a Kalman filter with an anchored observation model.

problem Stable estimation of lifetime PDs under forecast uncertainty.
method Reformulated in state-space framework, introduced an anchored observation model.
result Asymptotic stochastic stability of error dynamics, leading to smoother projections.
PD estimationKalman filterforecast uncertaintystochastic stabilitystate-space model
2025-09-12abs ↗pdf ↗
Using CPI in Loss Given Default Forecasting Models for Commercial Real Estate Portfolioq-fin.RM

The paper uses CPI growth rates to improve LGD predictions for CRE loans.

problem Challenges in forecasting LGD for CRE loans due to extended resolution times and restricted data.
method Combines internal and public data, including CPI growth rates, to forecast CRE LGD.
result Incorporating CPI at the time of default improves LGD prediction accuracy.
CPI growthCRE LGDLGD forecastingCommercial Real EstatePost-default
2024-02-23abs ↗pdf ↗