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1

The authors thanks seminar participants at the IMF and AMRO-3 for useful discussions; Ziya Gorpe, Chengyu Huang, Tae-Hwy Lee, James Mongardini, Chris Redl, Ruoyao Shi, Aman Ullah, and Harry Peng Zhao for their comments; and Chuqiao Bi and Lamya Kejji for preparing the data sets. All omissions and errors are the authors’ sole responsibility. Please address correspondence to both authors.

2

See Stiglitz (2017) for a critique, and Christiano et al. (2018) for a rebuttal.

3

The biased label problem in crisis prediction is somewhat similar to the problem of label bias and fairness: data points are falsely attributed to a certain class even if the features may not justify it. See for instance, Jiang and Nachum (2019).

4

A related method is the Markov Chain Monte Carlo variational autoencoder-based of Rezende et al. (2015).

5

The activation function of this autoencoder, as well as the others unFEAR uses, is an exponential linear unit (ELUs) (Clevert et al., 2016). The convergence speed of ELUs outperforms that of rectified linear units (ReLUs) (Klambauer et al., 2017).

6

A more complex alternative to the use of a regularized loss function, as done here, is to use a denoising autoencoder incorporating the cluster requirement into the reconstruction error. On denoising autoencoders, see Alain and Bengio (2014).

7

A detailed description of the attributes is available upon request from the authors. Most variables are available from public IMF databases and/or private data providers. Probabilities of default are from the Credit Research Initiative at the Asian Institute of Digital Finance, National University of Singapore (https://rmicri.org). Researchers can access PD data upon registration.

8

Class 0 corresponds to the no crisis label, class 1 to financial crisis, class 2 to a sudden stop crisis, class 3 to an exchange rate market pressure index event, class 4 to a real sector crisis, and class 5 to a fiscal crisis.

UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification
Author: Mr. Jorge A Chan-Lau and Ran Wang