In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...

The ability of some neural nets to predict the direction of the Mexican economy -represented by its LEI (Leading Economic Indicators/Index) - when taking as inputs the simultaneous versions (smoothing and predictive) of a Gaussian Process fed with a Stock Index and a Bonds Index representing the...