Raymond Brummelhuis

University of Reims Champagne-Ardenne

51096 Reims Cedex

France

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

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

Number of pages: 23 Posted: 24 May 2017
Zhongmin Luo and Raymond Brummelhuis
Standard Chartered Bank, London and University of Reims Champagne-Ardenne
Downloads 0 (28,295)

Abstract:

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

2.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Standard Chartered Bank, London
Downloads 0 (8,955)

Abstract:

Machine Learning, Counterparty Credit Risk, CDS Proxy Method, Classification.