metadata
license: apache-2.0
tags:
- tabular-regression
- finance
- settlement-fails
Fails-Forecasting v1 (XGBoost + LightGBM)
Predicts next-day settlement-fail notional for US Treasuries & corporates.
| metric | value |
|---|---|
| MAE | 4.2 bn |
| RMSE | 5.8 bn |
Files
xgb_next_day_fails_model.joblib– point predictionlgb_quantile90_next_day_fails.joblib– 90-percentile upper-bound
Trained on FINRA FTD + TRACE (2009-2025).
Usage
import joblib, pandas as pd
model = joblib.load("xgb_next_day_fails_model.joblib")
y_hat = model.predict(pd.DataFrame(...))