Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises

DOI10.1007/S10479-020-03762-XMaRDI QIDQ829159zbMATH OpenOpenAlexFDO

Authors Nikolas Stege, Christoph Wegener, Tobias Basse, Frederik Kunze

Publication date 5 May 2021

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-020-03762-x

zbMATH Keywords

artificial neural networkscointegrationrisk managementmodeling interest ratesnet interest rate income

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• scientific article; zbMATH DE number 3426656 (Why is no real title available?)
• scientific article; zbMATH DE number 3008134 (Why is no real title available?)
• An analysis of variance test for normality (complete samples)
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting government bond yields with neural networks considering cointegration
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
• On the robustness of cointegration tests when series are fractionally intergrated
• Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
• Reassessing the scope of OR practice: the influences of problem structuring methods and the analytics movement
• Statistical analysis of cointegration vectors
• Tests for cointegration. A Monte Carlo comparison

Describes a project that uses

Uses Software

• TensorFlow
• VassarStats

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