OeNB-Freitagsseminar with Merlin Bartel, Michael Hanke and Sebastian Petric

Crisis Identification and Prediction using Machine Learning: The Case of U.S. Regional Banks

OeNB Freitagsseminar with Merlin Bartel, University Liechtenstein, Michael Hanke, University Liechtenstein and Sebastian Petric, LGT Bank

Financial crises have impacts on the economy and society, so their identification and prediction are of interest to investors and policymakers alike. Historically, many financial crises originated in the banking sector. Using a return-based and data-driven crisis definition, we combine clustering, ridge regression, and sequential feature selection to identify and predict U.S. regional banking crises. In addition to a statistical evaluation of the forecasting ability of our approach, we analyze its impact on a trading strategy for a broad range of risk attitudes. Its predictions can be used to avoid market exposure during negative market phases, which improves the risk-adjusted returns of the trading strategy compared to the buy-and-hold benchmark.

Date
Friday, November 29, 2024 | Start: 11:00 AM | End: 12:30 PM              

Venue 
The event is planned both, online via Webex and onsite at the Oesterreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Vienna, Veranstaltungssaal, Ground Floor.

Please register by November 27, 2024, at the latest.