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

25 Pages Posted: 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 16, 2018

Abstract

A presentation was given on 7 March 2018 as the Call for Paper winner for Risk's Quant Summit Europe 2018 Conference based on an original paper titled CDS Rate Construction Methods by Machine Learning Techniques jointly by Raymond Brummelhuis and Zhongmin Luo available 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 Slides) (March 16, 2018). Available at SSRN: https://ssrn.com/abstract=3142258 or http://dx.doi.org/10.2139/ssrn.3142258

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

Register to save articles to
your library

Register

Paper statistics

Downloads
154
Abstract Views
474
rank
188,096
PlumX Metrics