Multiple yield curve modeling and forecasting using deep learning

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Publication:6668679

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DOI10.1017/asb.2024.26MaRDI QIDQ6668679

Ronald Richman, Salvatore Scognamiglio

Publication date: 22 January 2025

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

asset-liability management value-at-risk interest rate risk transfer learning deep learning Nelson-Siegel model solvency II attention models IFRS 17 multiple yield curve modeling real-world modeling

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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