Credit spread approximation and improvement using random forest regression

DOI10.1016/j.ejor.2019.02.005zbMath1431.91415arXiv2106.07358OpenAlexW2914670825MaRDI QIDQ1735198

Mathieu Mercadier, Jean-Pierre Lardy

Publication date: 28 March 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.07358

zbMATH Keywords

risk analysisfinancerandom forestscredit default swapsstructural model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Uses Software

• Stata
• NumPy
• Matplotlib
• Scikit
• randomForest
• SegNet

Cites Work

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• Random forests