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
More on Risk management
Most read on Risk.net
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Quant Finance Master’s Guide 2019
- Princeton tops inaugural Risk.net quant master’s ranking
- Credit risk quants are hitting the tech gap
- Does credit risk need an expected shortfall-style revamp?
Back to Top