CDS Rate Construction Methods by Machine Learning Techniques (Presentation at invitation by Department of Statistics at London School of Economics)

23 Pages Posted: 24 May 2017 Last revised: 21 Mar 2018

See all articles by Zhongmin Luo

Zhongmin Luo

Birkbeck, University of London

Raymond Brummelhuis

University of Reims Champagne-Ardenne

Date Written: March 7, 2017

Abstract

The presentation was delivered at the invitation by the Department of Statistics at London School of Economics and Political Science based on an original research paper titled CDS Rate Construction Methods by Machine Learning Techniques by Raymond Brummelhuis and Zhongmin Luo here: https://ssrn.com/abstract=2967184.

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

JEL Classification: C4, C45, C63

Suggested Citation

Luo, Zhongmin and Brummelhuis, Raymond, CDS Rate Construction Methods by Machine Learning Techniques (Presentation at invitation by Department of Statistics at London School of Economics) (March 7, 2017). Available at SSRN: https://ssrn.com/abstract=2973065 or http://dx.doi.org/10.2139/ssrn.2973065

Zhongmin Luo (Contact Author)

Birkbeck, University of London ( email )

Malet Street
London, London WC1
United Kingdom

Raymond Brummelhuis

University of Reims Champagne-Ardenne ( email )

51096 Reims Cedex
France

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