Zhongmin Luo

Birkbeck, University of London

Malet Street

London, London WC1

United Kingdom

SCHOLARLY PAPERS

7

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6,819

CITATIONS

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Scholarly Papers (7)

1.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 31 Oct 2018
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 4,321 (1,835)

Abstract:

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Machine Learning, Counterparty Credit Risk, CDS Proxy Method, Classification, CVA, XVA

2.

CDS Rate Construction Methods by Machine Learning Techniques (Presentation at invitation by Department of Statistics at London School of Economics)

Number of pages: 23 Posted: 24 May 2017 Last Revised: 21 Mar 2018
Zhongmin Luo and Raymond Brummelhuis
Birkbeck, University of London and University of Reims Champagne-Ardenne
Downloads 1,991 (6,915)

Abstract:

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Machine Learning, Statistics, Classification, Counterparty Credit Risk, CVA, FVA, XVA, banking regulatory, accounting standard

3.

Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives

Number of pages: 37 Posted: 21 Nov 2018 Last Revised: 16 Dec 2018
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 344 (83,500)

Abstract:

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Arbitrage; Asset pricing; OTC derivatives; CVA; XVA; Valuation adjustment; Counterparty credit risk

4.

CDS Rate Construction Methods by Machine Learning Techniques (Presentation Slides)

Number of pages: 25 Posted: 21 Mar 2018
Zhongmin Luo and Raymond Brummelhuis
Birkbeck, University of London and University of Reims Champagne-Ardenne
Downloads 151 (187,708)

Abstract:

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Machine Learning, Statistics, Classification, Counterparty Credit Risk, CVA, FVA, XVA, banking regulatory, accounting standard

5.

Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques

Number of pages: 51
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 12

Abstract:

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Regression, Machine Learning, Time Series Analysis, Bank Capital, Stress Test, Net Interest Margin, Forecasting, PPNR, CCAR.

6.

CDS Proxy Construction via Machine Learning Techniques Part II: Parametrization, Correlation, Benchmarking

Journal of Financial Data Science, Forthcoming, Number of pages: 29
Posted: 06 Mar 2019
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London

Abstract:

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CDS Proxy Construction, Counterparty Credit Risk, Machine Learning, Classification

7.

CDS Proxy Construction via Machine Learning Techniques Part I: Methodology and Results

Journal of Financial Data Science, Forthcoming, Number of pages: 29
Posted: 06 Mar 2019
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London

Abstract:

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CDS Proxy Construction, Counterparty Credit Risk, Machine Learning, Classification