Vilen Abramov

Independent

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Comprehensive Capital Analysis and Review Consistent Yield Curve Stress Testing: From Nelson–Siegel to Machine Learning

Journal of Risk Model Validation, Vol. 15, No. 3, 2021
Number of pages: 34 Posted: 08 Dec 2021
Vilen Abramov, Christopher Atchison and Zhengye Bian
Independent, Independent and Independent
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Abstract:

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machine learning, artificial neural networks (ANNs), principal component analysis (PCA), Nelson–Siegel (NS), yield curve, stress testing