Predicting Credit Default Swap (CDS) Returns with Machine Learning
نویسندگان
چکیده
منابع مشابه
Credit Default Swap Valuation with Counterparty Risk ∗
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases whe...
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ژورنال
عنوان ژورنال: UF Journal of Undergraduate Research
سال: 2018
ISSN: 2638-0668
DOI: 10.32473/ufjur.v20i1.106275