Yield curve extrapolation with machine learning

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<title>Yield curve extrapolation with machine learning</title>
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<namePart>Matsuyama, Naoki</namePart>
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<abstract displayLabel="Summary">Yield curve extrapolation to unobservable tenors is a key technique for the market-consistent valuation of actuarial liabilities required by Solvency II and forthcoming similar regulations. Since the regulatory method, the SmithWilson method, is inconsistent with observable yield curve dynamics, parsimonious parametric models, the NelsonSiegel model and its extensions, are often used for yield curve extrapolation in risk management</abstract>
<note type="statement of responsibility">Shinobu Akiyama and Naoki Matsuyama</note>
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<topic>Solvencia II</topic>
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<topic>Tasa interna de rendimiento</topic>
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<identifier type="issn">0515-0361</identifier>
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<text>29/01/2025 Volume 55 Issue 1 - January 2025 , p. 76 - 96</text>
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