Self-Driving Neural Networks for Yield Curve Modelling

Source: European Central Bank (video statements)

Sicco Kooiker* (Vrije Universiteit Amsterdam)
with Janneke von Brummelen, Julia Schaumburg, and Marcin Zamojski (all Vrije Universiteit Amsterdam)

Discussant: Sarah Mouabbi (Banque de France)

https://www.youtube.com/watch?v=AZjnAfP_pvM