We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...

We propose a multivariate nonparametric technique for generating reliable scenarios and confidence intervals for the term structure of interest rates from historical data. The approach is based on a functional gradient descent (FGD) estimation of the conditional mean vector and the conditional...

We present a multivariate, non-parametric technique for constructing reliable daily VaR predictions for individual assets belonging to a common equity market segment, which takes also into account the possible dependence structure between the assets and is still computationally feasible in large...