Title :
Analyzing shocks on the interest rate structure with Kohonen map
Author :
Cottrell, Marie ; de Bodt, Eric ; Gregoire, Philippe
Author_Institution :
SAMOS, France
Abstract :
The goal of the paper is to classify the observed shocks on the interest rate term structure and to verify that these classes of shocks are compatible with the theoretical shocks predicted by the general equilibrium models and, consequently, respect the no-arbitrage condition. To classify the observed shocks on the interest rate structure, we use data of the US bonds market. Our data are daily interest rate structures for maturity from 1 to 15 years
Keywords :
financial data processing; self-organising feature maps; Kohonen map; US bonds market data; equilibrium models; interest rate term structure shock analysis; no-arbitrage condition; Contingency management; Cost accounting; Economic indicators; Electric shock; Financial management; Information analysis; Information management; Reactive power; Risk management; Shape;
Conference_Titel :
Computational Intelligence for Financial Engineering, 1996., Proceedings of the IEEE/IAFE 1996 Conference on
Conference_Location :
New York City, NY
Print_ISBN :
0-7803-3236-9
DOI :
10.1109/CIFER.1996.501841
