CDS Rate Construction Methods by Machine Learning Techniques


To price and risk-manage OTC derivatives, banks should estimate counterparty default risks based on liquidly quoted CDS rates,which aren't available for the vast majority of counterparties.Thus,banks construct proxy CDS rates... [ view full abstract ]


  1. Zhongmin Luo (birkbeck, University of London)
  2. Raymond Brummelhuis (University of Reims Champagne-Ardenne)

Topic Areas

Credit Risk , CVA-XVA Models , Machine Learning


TH-P-BU » Machine Learning (14:30 - Thursday, 19th July, Burke Theater)

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