Yield curve extrapolation with machine learning

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      <subfield code="a">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</subfield>
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