Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises

DOI10.1007/s10479-020-03762-xzbMath1461.91342OpenAlexW3080672770MaRDI QIDQ829159

Tobias Basse, Nikolas Stege, Frederik Kunze, Christoph Wegener

Publication date: 5 May 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03762-x

zbMATH Keywords

cointegrationartificial neural networksrisk managementmodeling interest ratesnet interest rate income

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

Uses Software

• VassarStats
• TensorFlow

Cites Work

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