Predicting credit default swap prices with financial and pure data-driven approaches

DOI10.1080/14697688.2010.531041zbMath1277.91185OpenAlexW2103336046MaRDI QIDQ2866383

Yalin Gündüz, Marliese Uhrig-Homburg

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.531041

zbMATH Keywords

credit riskcredit derivativescredit default swapsstructural credit risk modelssupport vector machines regressionreduced-form credit risk models

Mathematics Subject Classification ID

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

Related Items (3)

Practical Bayesian support vector regression for financial time series prediction and market condition change detection ⋮ Does modeling framework matter? A comparative study of structural and reduced-form models ⋮ Long-term forecasting of time series based on linear fuzzy information granules and fuzzy inference system

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• The Pricing of Options and Corporate Liabilities
• Financial forecasting using support vector machines
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• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

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