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International Monetary Fund. Strategy, Policy, & Review Department
The IMF’s Vulnerability Exercise (VE) is a cross-country exercise that identifies country-specific near-term macroeconomic risks. As a key element of the Fund’s broader risk architecture, the VE is a bottom-up, multi-sectoral approach to risk assessments for all IMF member countries. The VE modeling toolkit is regularly updated in response to global economic developments and the latest modeling innovations. The new generation of VE models presented here leverages machine-learning algorithms. The models can better capture interactions between different parts of the economy and non-linear relationships that are not well measured in ”normal times.” The performance of machine-learning-based models is evaluated against more conventional models in a horse-race format. The paper also presents direct, transparent methods for communicating model results.
International Monetary Fund. Strategy, Policy, & Review Department

Importance 18. Fiscal Risk in Greece, 2009 19. Bank Crisis History and Frequency 20. Financial Sector Model Performance 21. Financial Model Variable Importance 22. Historical Evolution of Average Risk Index 23. Global-Local Variable Interaction in Financial Sector Model 24. Financial Crisis Risk Index, Iceland and Ireland, 2005 and 2007 25. Real Sector Crisis History 26. Real Sector Model Performance 27. Real Model Variable Importance 28. Nonlinear Interactions in Real Sector Model 29. Crisis Risk Indices in Four Sectors, Ethiopia and Greece