Mapping interest rate projections using neural networks under cointegration
Research output: Contributions to collected editions/works › Article in conference proceedings › Research › peer-review
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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
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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 -