Systemic Risk Modeling with Expectile Regression Neural Network and Modified LASSO
Bibliographic record
Abstract
Traditional risk models often fail to capture extreme losses in interconnected global stock markets. This study introduces a novel approach, Expectile Regression Neural Network with Modified LASSO regularization (ERNN-mLASSO), to model nonlinear systemic risk. By analyzing five major stock indices (JKSE, GSPC, GDAXI, FTSE, N225), we identify distinct market roles: developed markets, such as the GSPC, act as risk spreaders, while emerging markets, like the JKSE, act as risk takers. Our network systemic risk index, SNRI, accurately captures systemic shocks during the COVID-19 crisis. More importantly, the model projects increasing global financial fragility through 2025, providing an early warning signal for policymakers and risk managers of potential future instability.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".