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Christopher Atchison

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

1.

CCAR-Consistent Yield Curve Stress Testing: From Nelson-Siegel to Machine Learning

Number of pages: 26 Posted: 27 Jun 2019
Vilen Abramov, Christopher Atchison and Zhengye Bian
Independent, affiliation not provided to SSRN and Independent
Downloads 586 (116,893)

Abstract:

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Machine Learning, Artificial Neural Networks (ANN), Principal Component Analysis (PCA), Nelson-Siegel (NS), Yield Curve, Curve Dynamics, Stress Testing, Comprehensive Capital Analysis and Review