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Mapping interest rate projections using neural networks under cointegration

Research output: Contributions to collected editions/works › Article in conference proceedings › Research › peer-review

Standard

Mapping interest rate projections using neural networks under cointegration. / Stege, Nikolas; Basse, Tobias; Wegener, Christoph et al.
Proceedings of the International Conference on Internet of Things and Machine Learning, IML 2017. ed. / Hani Hamdan; Faouzi Hidoussi; Djallel Eddine Boubiche. Association for Computing Machinery, Inc, 2017. a13 (ACM International Conference Proceeding Series).

Research output: Contributions to collected editions/works › Article in conference proceedings › Research › peer-review

Harvard

Stege, N, Basse, T, Wegener, C & Kunze, F 2017, Mapping interest rate projections using neural networks under cointegration. in H Hamdan, F Hidoussi & DE Boubiche (eds), Proceedings of the International Conference on Internet of Things and Machine Learning, IML 2017., a13, ACM International Conference Proceeding Series, Association for Computing Machinery, Inc, 1st International Conference on Internet of Things and Machine Learning - IML 2017, Liverpool, United Kingdom, 17.10.17. https://doi.org/10.1145/3109761.3109774

APA

Stege, N., Basse, T., Wegener, C., & Kunze, F. (2017). Mapping interest rate projections using neural networks under cointegration. In H. Hamdan, F. Hidoussi, & D. E. Boubiche (Eds.), Proceedings of the International Conference on Internet of Things and Machine Learning, IML 2017 Article a13 (ACM International Conference Proceeding Series). Association for Computing Machinery, Inc. https://doi.org/10.1145/3109761.3109774

Vancouver

Stege N, Basse T, Wegener C, Kunze F. Mapping interest rate projections using neural networks under cointegration. In Hamdan H, Hidoussi F, Boubiche DE, editors, Proceedings of the International Conference on Internet of Things and Machine Learning, IML 2017. Association for Computing Machinery, Inc. 2017. a13. (ACM International Conference Proceeding Series). doi: 10.1145/3109761.3109774

Bibtex

@inbook{7d1ad58f4ab54ae195d8ebd293c85305,
title = "Mapping interest rate projections using neural networks under cointegration",
abstract = "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.",
keywords = "Artificial neural networks, Cointegration, Mapping interest rate projections, Net interest rate income, Risk management, Management studies",
author = "Nikolas Stege and Tobias Basse and Christoph Wegener and Frederik Kunze",
year = "2017",
month = oct,
day = "17",
doi = "10.1145/3109761.3109774",
language = "English",
series = "ACM International Conference Proceeding Series",
publisher = "Association for Computing Machinery, Inc",
editor = "Hani Hamdan and Faouzi Hidoussi and Boubiche, {Djallel Eddine}",
booktitle = "Proceedings of the International Conference on Internet of Things and Machine Learning, IML 2017",
address = "United States",
note = "1st International Conference on Internet of Things and Machine Learning - IML 2017 ; Conference date: 17-10-2017 Through 18-10-2017",

}

RIS

TY - CHAP

T1 - Mapping interest rate projections using neural networks under cointegration

AU - Stege, Nikolas

AU - Basse, Tobias

AU - Wegener, Christoph

AU - Kunze, Frederik

N1 - Conference code: 1

PY - 2017/10/17

Y1 - 2017/10/17

N2 - 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.

AB - 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.

KW - Artificial neural networks

KW - Cointegration

KW - Mapping interest rate projections

KW - Net interest rate income

KW - Risk management

KW - Management studies

UR - http://www.scopus.com/inward/record.url?scp=85048356137&partnerID=8YFLogxK

U2 - 10.1145/3109761.3109774

DO - 10.1145/3109761.3109774

M3 - Article in conference proceedings

AN - SCOPUS:85048356137

T3 - ACM International Conference Proceeding Series

BT - Proceedings of the International Conference on Internet of Things and Machine Learning, IML 2017

A2 - Hamdan, Hani

A2 - Hidoussi, Faouzi

A2 - Boubiche, Djallel Eddine

PB - Association for Computing Machinery, Inc

T2 - 1st International Conference on Internet of Things and Machine Learning - IML 2017

Y2 - 17 October 2017 through 18 October 2017

ER -

Other publications by the same author(s)

Predictive power of oil prices on CDS spread dynamics of oil-producing countries

Wegener, C., Basse, T., Maiani, S. & Nguyen, T. H., 01.05.2025, In: Energy Economics. 145, 11 p., 108375.

Research output: Journal contributions › Journal articles › Research › peer-review

Does adhering to the principles of green finance matter for stock valuation? Evidence from testing for (co-)explosiveness

Basse, T., Karmani, M., Rjiba, H. & Wegener, C., 01.07.2023, In: Energy Economics. 123, 106729.

Research output: Journal contributions › Journal articles › Research

Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors

Basse, T., Desmyter, S., Saft, D. & Wegener, C., 01.10.2023, In: International Review of Financial Analysis. 89, 12 p., 102765.

Research output: Journal contributions › Journal articles › Research

Inflation expectations: Australian consumer survey data versus the bond market

Basse, T. & Wegener, C., 01.11.2022, In: Journal of Economic Behavior and Organization. 203, p. 416-430 15 p.

Research output: Journal contributions › Journal articles › Research

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

Stege, N., Wegener, C., Basse, T. & Kunze, F., 02.2021, In: Annals of Operations Research. 297, 1-2, p. 309-321 13 p.

Research output: Journal contributions › Journal articles › Research › peer-review

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