Completing the Market: Generating Shadow CDS Spreads by Machine Learning

Completing the Market: Generating Shadow CDS Spreads by Machine Learning
We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms’ accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient Boosting and Random Forest) strongly outperform other... READ MORE...

Publication date: December 2019
ISBN 9781513524085
$18.00

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