Mapping Swap Rate Projections on Bond Yields Considering Cointegration: An Example for the Use of Neural Networks in Stress Testing Exercises

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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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
ZeitschriftAnnals of Operations Research
Jahrgang297
Ausgabenummer1-2
Seiten (von - bis)309-321
Anzahl der Seiten13
ISSN0254-5330
DOIs
PublikationsstatusErschienen - 02.2021

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