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Zhengye Bian

Independent

United States

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 23,060

SSRN RANKINGS

Top 23,060

in Total Papers Downloads

5,458

TOTAL CITATIONS

0

Scholarly Papers (2)

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:

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SOFR, Libor, Curve Building, Bootstrapping

2.

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

Number of pages: 26 Posted: 27 Jun 2019
Independent, affiliation not provided to SSRN and Independent
Downloads 586 (116,893)

Abstract:

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Machine Learning, Artificial Neural Networks (ANN), Principal Component Analysis (PCA), Nelson-Siegel (NS), Yield Curve, Curve Dynamics, Stress Testing, Comprehensive Capital Analysis and Review