Zhengye Bian

Independent

United States

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1.

SOFR Bootstrapping Modeling Methodologies and Issues (w/Python and Excel Replicas of Bloomberg SOFR @ GitHub)

Number of pages: 13 Posted: 28 Aug 2020

Vilen Abramov, Xianwen Zhou and Zhengye Bian

Independent, Independent and Independent

Downloads 4,872 (4,884)

Abstract:

2.

CCAR-Consistent Yield Curve Stress Testing: From Nelson-Siegel to Machine Learning

Number of pages: 26 Posted: 27 Jun 2019

Vilen Abramov, Christopher Atchison and Zhengye Bian

Independent, affiliation not provided to SSRN and Independent

Downloads 586 (116,893)

Abstract:

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Zhengye Bian

Independent

2

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5,458

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Scholarly Papers (2)

SOFR Bootstrapping Modeling Methodologies and Issues (w/Python and Excel Replicas of Bloomberg SOFR @ GitHub)

Abstract:

CCAR-Consistent Yield Curve Stress Testing: From Nelson-Siegel to Machine Learning

Abstract: