Zhongmin Luo

Birkbeck, University of London

Malet Street

London, London WC1

United Kingdom

SCHOLARLY PAPERS

4

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CITATIONS

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Scholarly Papers (4)

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 4,167 (1,908)

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 1,942 (7,088)

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 297 (96,752)

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 145 (191,160)

Abstract:

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