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

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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.
Original languageEnglish
JournalAnnals of Operations Research
Issue number1-2
Pages (from-to)309-321
Number of pages13
Publication statusPublished - 02.2021

    Research areas

  • Management studies - risk management, net interest rate income, modeling interest rates, cointegration, artificial neural networks