CDS Rate Construction Methods by Machine Learning Techniques
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Other versions of this item:
- Raymond Brummelhuis & Zhongmin Luo, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," Papers 1705.06899, arXiv.org.
References listed on IDEAS
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Cited by:
- Mercadier, Mathieu & Lardy, Jean-Pierre, 2019.
"Credit spread approximation and improvement using random forest regression,"
European Journal of Operational Research, Elsevier, vol. 277(1), pages 351-365.
- Mathieu Mercadier & Jean-Pierre Lardy, 2019. "Credit Spread Approximation and Improvement using Random Forest Regression," Post-Print hal-02057019, HAL.
- Mathieu Mercadier & Jean-Pierre Lardy, 2019. "Credit spread approximation and improvement using random forest regression," Post-Print hal-03241566, HAL.
- Mathieu Mercadier & Jean-Pierre Lardy, 2021. "Credit spread approximation and improvement using random forest regression," Papers 2106.07358, arXiv.org.
- Ryan Ferguson & Andrew Green, 2018. "Deeply Learning Derivatives," Papers 1809.02233, arXiv.org, revised Oct 2018.
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More about this item
Keywords
Machine Learning; Counterparty Credit Risk; CDS Proxy Construction; Classification.;All these keywords.
JEL classification:
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2017-05-28 (Computational Economics)
- NEP-RMG-2017-05-28 (Risk Management)
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