Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
Zhongfang He
| Year of publication: |
2020
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|---|---|
| Authors: | He, Zhongfang |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 5, p. 67-82
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| Subject: | interest rate risk | behavioral model | nonparametric model | kernel ridge regression | machine learning | Zinsrisiko | Interest rate risk | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Regressionsanalyse | Regression analysis | Künstliche Intelligenz | Artificial intelligence |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.436 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012421692