Raymond Brummelhuis

University of Reims Champagne-Ardenne

51096 Reims Cedex

France

  • University of Reims Champagne-Ardenne

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

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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 5,300 (1,977)
Citation 3

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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 2,274 (8,330)

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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 537 (67,770)
Citation 4

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

4.

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

Number of pages: 51 Posted: 02 Apr 2019
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 247 (161,478)

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

5.

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 174 (222,813)

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

6.

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

Journal of Financial Data Science, Vol. No. 2, 2019
Posted: 06 Mar 2019 Last Revised: 15 May 2019
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London

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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, Vol. 1 No. 2, 2019
Posted: 06 Mar 2019 Last Revised: 15 May 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