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