Abstract
This paper discusses the application of techniques of business analytics in the banking industry examining stress tests in the context of financial risk management. We focus on the use of neural networks in combination with techniques of cointegration analysis to map swap rate projections derived from given scenarios (e.g., a certain stress scenario from the EBA/ECB 2016 EU-wide stress test) on other relevant interest rates in order to ensure that contingent projections for these time series are produced and used in the process of stress testing.
| Original language | English |
|---|---|
| Journal | Annals of Operations Research |
| Volume | 297 |
| Issue number | 1-2 |
| Pages (from-to) | 309-321 |
| Number of pages | 13 |
| ISSN | 0254-5330 |
| DOIs | |
| Publication status | Published - 02.2021 |
Bibliographical note
Publisher Copyright:© 2020, Springer Science+Business Media, LLC, part of Springer Nature.
Research areas and keywords
- Management studies
- risk management
- net interest rate income
- modeling interest rates
- cointegration
- artificial neural networks
ASJC Scopus Subject Areas
- Decision Sciences(all)
- Management Science and Operations Research
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