Multiple yield curve modeling and forecasting using deep learning
Ronald Richman and Salvatore Scognamiglio
| Year of publication: |
2024
|
|---|---|
| Authors: | Richman, Ronald ; Scognamiglio, Salvatore |
| Subject: | asset-liability management | attention models | Deep learning | IFRS 17 | interest rate risk | multiple yield curve modeling | Nelson-Siegel model | Real-world modeling | Solvency II | transfer learning | value-at-risk | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Theorie | Theory | Lernprozess | Learning process | Kapitaleinkommen | Capital income | Zinsrisiko | Interest rate risk | Ökonometrisches Modell | Econometric model | Lernen | Learning |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2024.26 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015154556