Monte Carlo Tree Search

The tree search algorithm attempts to mimic the intuition of a portfolio manager in the selection of a ‘best’ stress testing model for a portfolio of retail loans. The trajectory the portfolio default probability will follow in a hypothetical stress situation is the basis of selection and is evaluated by managers using several heuristics. The algorithm attempts to capture these heuristics, significantly increasing the efficiency of the modelling process. The code can be found below https://github.com/adu3110/Data-Science-Repository/tree/master/R