Credit Spread Approximation and Improvement using Random Forest Regression
Year of publication: |
[2021]
|
---|---|
Authors: | Mercadier, Mathieu ; Lardy, Jean-Pierre |
Publisher: |
[S.l.] : SSRN |
Subject: | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Theorie | Theory |
Extent: | 1 Online-Ressource (37 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: European Journal of Operational Research 277 (1), 351-365, 2019 Nach Informationen von SSRN wurde die ursprĂĽngliche Fassung des Dokuments February 11, 2019 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Karimalis, Emmanouil, (2017)
-
Predicting economic activity via Eurozone yield spreads : impact of credit risk
Schock, Matthias, (2015)
-
Credit risk-taking and maturity mismatch : the role of the yield curve
Ferrero, Giuseppe, (2019)
- More ...
-
Credit spread approximation and improvement using random forest regression
Mercadier, Mathieu, (2019)
-
Banks’ Risk Clustering Using K-Means : A Method Based on Size and Individual & Systemic Risks
Mercadier, Mathieu, (2021)
-
Correlation, CDOs of ABS and the subprime crisis.
Lardy, Jean-Pierre, (2009)
- More ...