A presentation was given on 7 March 2018 as the Call for Paper winner for Risk's Quant Summit Europe 2018 Conference based on an original paper titled CDS Rate Construction Methods by Machine Learning Techniques jointly by Raymond Brummelhuis and Zhongmin Luo available...

Regulators require financial institutions to estimate counterparty default risks from liquid CDS quotes for the valuation and risk management of OTC derivatives. However, the vast majority of counterparties do not have liquid CDS quotes and need proxy CDS rates. Existing methods cannot account...