Download This PaperCDS 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
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
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JEL Classification: C4, C45, C63
Suggested Citation: 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
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