金融机构的几何 - - 金融数据的瓦斯斯坦集群
L Riess1,2, J Backhoff1, M Beiglböck1
1University of Vienna, Wien, Austria.
概括
监管机构现在可以使用最佳运输理论来绘制金融机构的地图. 该方法评估信用数据作为概率分布,揭示机构相似性和集群,以便更好地监督.
科学领域:
- 定量金融是指数量金融.
- 计算统计的计算统计.
- 金融监管 金融监管
背景情况:
- 金融机构为监管监督产生大量细节化数据.
- 将这些数据压缩成一个机构相似性的地图是具有挑战性的.
- 缺少数据进一步使监管分析复杂化.
研究的目的:
- 开发一种用于绘制金融格局的方法.
- 在金融机构中识别集群和异常值.
- 量化机构之间的相似性和距离.
主要方法:
- 解释金融信贷数据作为概率分布.
- 应用最佳运输理论来测量分布之间的距离.
- 使用罗伊德算法的变体与一般化的瓦瑟斯坦重心.
主要成果:
- 为金融机构建造一个计量空间.
- 开发一种定量方法来评估机构相似性.
- 能够识别银行业中的集群和异常值.
结论:
- 拟议的方法有效地绘制了银行业格局.
- 最佳运输为金融数据分析提供了一个强大的框架.
- 这有助于加强监管监督和风险评估.
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