Forecasting the U.S. Treasury Yield Curve: A Distributionally Robust Machine Learning Approach for Interest Rate Risk Management
A new research paper proposes a distributionally robust machine learning framework for forecasting U.S. Treasury yields. This approach combines parametric factor models with machine learning to manage interest rate risk. The framework aims to improve out-of-sample performance by penalizing tail risk and supports disciplined risk management for financial decision-makers. AI