CDS approximation accuracy improvement with cart and random forest algorithms based on a time span including the COVID-19 pandemic period
Year of publication: |
2023
|
---|---|
Authors: | Mercadier, Mathieu |
Published in: |
Recent trends in financial engineering : towards more sustainable social impact. - New Jersey : World Scientific, ISBN 978-981-12-5791-9. - 2023, p. 39-63
|
Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Algorithmus | Algorithm | Iteratives Verfahren | Approximation method | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory |
-
An approximation method for analysis and valuation of credit correlation derivatives
Egami, Masahiko, (2006)
-
Pricing portfolio credit derivatives by means of evolutionary algorithms
Hager, Svenja, (2008)
-
Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Hager, Svenja, (2008)
- More ...
-
Credit spread approximation and improvement using random forest regression
Mercadier, Mathieu, (2019)
-
A one-sided Vysochanskii-Petunin inequality with financial applications
Mercadier, Mathieu, (2021)
-
How green are SRI labelled funds? Insights from a Machine Learning based clustering approach
Rannou, Yves, (2022)
- More ...