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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Mapping Swap Rate Projections on Bond Yields Considering Cointegration: An Example for the Use of Neural Networks in Stress Testing Exercises. / Stege, Nikolas; Wegener, Christoph; Basse, Tobias et al.
In: Annals of Operations Research, Vol. 297, No. 1-2, 02.2021, p. 309-321.

Research output: Journal contributionsJournal articlesResearchpeer-review

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@article{832fc3114b2548729217829a7bd67cf1,
title = "Mapping Swap Rate Projections on Bond Yields Considering Cointegration: An Example for the Use of Neural Networks in Stress Testing Exercises",
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 = "Management studies, risk management, net interest rate income, modeling interest rates, cointegration, artificial neural networks",
author = "Nikolas Stege and Christoph Wegener and Tobias Basse and Frederik Kunze",
note = "Publisher Copyright: {\textcopyright} 2020, Springer Science+Business Media, LLC, part of Springer Nature.",
year = "2021",
month = feb,
doi = "10.1007/s10479-020-03762-x",
language = "English",
volume = "297",
pages = "309--321",
journal = "Annals of Operations Research",
issn = "0254-5330",
publisher = "Springer Netherlands",
number = "1-2",

}

RIS

TY - JOUR

T1 - Mapping Swap Rate Projections on Bond Yields Considering Cointegration

T2 - An Example for the Use of Neural Networks in Stress Testing Exercises

AU - Stege, Nikolas

AU - Wegener, Christoph

AU - Basse, Tobias

AU - Kunze, Frederik

N1 - Publisher Copyright: © 2020, Springer Science+Business Media, LLC, part of Springer Nature.

PY - 2021/2

Y1 - 2021/2

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 - Management studies

KW - risk management

KW - net interest rate income

KW - modeling interest rates

KW - cointegration

KW - artificial neural networks

UR - http://www.scopus.com/inward/record.url?scp=85089510542&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/e1f0ff56-61e7-3fbf-b2c7-f84a9e662bc8/

U2 - 10.1007/s10479-020-03762-x

DO - 10.1007/s10479-020-03762-x

M3 - Journal articles

VL - 297

SP - 309

EP - 321

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

IS - 1-2

ER -

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