Credit spread approximation and improvement using random forest regression
Year of publication: |
2019
|
---|---|
Authors: | Mercadier, Mathieu ; Lardy, Jean-Pierre |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 277.2019, 1 (16.8.), p. 351-365
|
Subject: | Risk analysis | Finance | Structural model | Random forests | Credit default swaps | Theorie | Theory | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Forstwirtschaft | Forestry |
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