Curve dynamics with artificial neural networks

Artificial neural networks can replace PCA for yield curves analysis

CLICK HERE TO VIEW THE PDF

CLICK HERE TO LISTEN TO ALEXEI IN CONVERSATION

Risk management requires calculation of the probability distributions of market risk factors (in our case, curve shapes) over various time horizons. However, most risk factor modelling techniques are designed to model the probability distribution of returns. When modelling the returns, rather than the risk factor itself, the model would typically have no dependence, or a prescribed parametric dependence, on the initial

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here