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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
7 days in 60 seconds
Disruption, CCP default and the latest Libor problem
The week on Risk.net, January 18–24, 2020
Receive this by email