While scientists and politicians do not always agree on the plan for how to fight the corona pandemic, there is consensus on one aspect: the economic crisis we have entered as a result may develop to a scale unprecedented for all of us.
Creating a future stress scenario for the yield curve is not easily done. Above all, it is something that has to be done carefully, because it can have negative repercussions for a financial institution.
During the past 20 years, mobile services have changed so much in our lives – from ordering a taxi, eating out, or simply the way that we communicate with one another. Relatively speaking, banks have lagged behind this digital progress, but it seems like this is now changing.
A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught how to analyze time series with the aid of ‘state-space models’, on the assumption that observations over time (such as the content of the Nile, for example) are driven by non-observed factors.