Mapping interest rate projections using neural networks under cointegration

Publikation: Beiträge in SammelwerkenAufsätze in KonferenzbändenForschungbegutachtet

Authors

This paper discusses the application of techniques of business analytics in the banking industry examining stress tests in the context of financial risk management. We focus on the use of neural networks in combination with techniques of cointegration analysis to map swap rate projections derived from given scenarios (e.g., a certain stress scenario from the EBA/ECB 2016 EU-wide stress test) on other relevant interest rates in order to ensure that contingent projections for these time series are produced and used in the process of stress testing.

OriginalspracheEnglisch
TitelProceedings of the International Conference on Internet of Things and Machine Learning, IML 2017
HerausgeberHani Hamdan, Faouzi Hidoussi, Djallel Eddine Boubiche
Anzahl der Seiten5
VerlagAssociation for Computing Machinery, Inc
Erscheinungsdatum17.10.2017
Aufsatznummera13
ISBN (elektronisch)9781450352437
DOIs
PublikationsstatusErschienen - 17.10.2017
Extern publiziertJa
Veranstaltung1st International Conference on Internet of Things and Machine Learning - IML 2017 - John Moores University, Liverpool, Großbritannien / Vereinigtes Königreich
Dauer: 17.10.201718.10.2017
Konferenznummer: 1

DOI

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