arxivq-fin.RMcs.LG2026-07-06
SHARC: SHAP-Based Interpretability in Machine Learning Risk Models for Regulatory Capital under ICAAP and CCAR
The adoption of non-parametric machine learning models for regulatory capital estimation introduces a fundamental governance challenge: the inability to explain model outputs in a manner auditable by supervisory bodies. This 'black box' problem remains a major barrier to the adop…