Modeling default risk with support vector machines

DOI10.1080/14697680903410015zbMath1210.91148MaRDI QIDQ2994860

Shiyi Chen, Russ A. Moro, Wolfgang Karl Härdle

Publication date: 29 April 2011

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

Full work available at URL: https://doi.org/10.1080/14697680903410015

zbMATH Keywords

statistical learning theory; capital asset pricing; economics of risk; applications to default risk

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91G40: Credit risk

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