Dr. Achim Posthaus

Frankfurt School of Finance and Management

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

592

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Yield Curve Fitting with Artificial Intelligence: A Comparison of Standard Fitting Methods with AI Algorithms

Number of pages: 17 Posted: 21 Dec 2017
Dr. Achim Posthaus
Frankfurt School of Finance and Management
Downloads 410 (91,896)

Abstract:

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Artificial Intelligence, Yield Curve, Fitting, Splines, Nelson-Siegel-Svensson Model, OIS

2.

A Study of the Regulatory Input Parameters in the Granularity Adjustment of the Gordy-Lütkebohmert Model and a New Method to Calibrate Them to Rating Grades

Number of pages: 21 Posted: 01 Mar 2019 Last Revised: 02 Dec 2021
Dr. Achim Posthaus
Frankfurt School of Finance and Management
Downloads 179 (214,769)

Abstract:

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Gordy-Lütkebohmert Model, Granularity Adjustment, Regulatory Capital Assessment, IRB Risk Weights, Model Calibration, Portfolio Credit Risk

3.

Yield Curve Fitting with Artificial Intelligence: A Comparison of Standard Fitting Methods with Artificial Intelligence Algorithms

Journal of Computational Finance, Forthcoming
Number of pages: 23 Posted: 25 Mar 2019
Dr. Achim Posthaus
Frankfurt School of Finance and Management
Downloads 3 (780,406)
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Abstract:

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artificial intelligence (AI), yield curve, fitting, splines, Nelson–Siegel–Svensson (NSS) model, overnight index swap (OIS)