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The Journal of Financial Data Science

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CDS Proxy Construction via Machine Learning Techniques—Part II: Parametrization, Correlation, Benchmarking

Raymond Brummelhuis and Zhongmin Luo
The Journal of Financial Data Science Spring 2019, 1 (2) 128-151; DOI: https://doi.org/10.3905/jfds.2019.1.2.128
Raymond Brummelhuis
is a professor in the Department of Mathematics and Computer Science and a member of the Laboratoire de Mathématiques de Reims at the University of Reims Champagne-Ardenne in Reims, France
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Zhongmin Luo
is an independent consultant and the director of Financial Architekt Ltd. in London, UK
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Article Information

vol. 1 no. 2 128-151
DOI 
https://doi.org/10.3905/jfds.2019.1.2.128

Published By 
Pageant Media Ltd
Print ISSN 
2640-3943
Online ISSN 
2640-3951
History 
  • Published online April 30, 2019.

Copyright & Usage 
© 2019 Pageant Media Ltd

Author Information

  1. Raymond Brummelhuis
    1. is a professor in the Department of Mathematics and Computer Science and a member of the Laboratoire de Mathématiques de Reims at the University of Reims Champagne-Ardenne in Reims, France. (raymondus.brummelhuis{at}univ-reims.fr)
  2. Zhongmin Luo
    1. is an independent consultant and the director of Financial Architekt Ltd. in London, UK. (zhongmin.luo{at}btinternet.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Financial Data Science
Vol. 1, Issue 2
Spring 2019
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CDS Proxy Construction via Machine Learning Techniques—Part II: Parametrization, Correlation, Benchmarking
Raymond Brummelhuis, Zhongmin Luo
The Journal of Financial Data Science Apr 2019, 1 (2) 128-151; DOI: 10.3905/jfds.2019.1.2.128

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CDS Proxy Construction via Machine Learning Techniques—Part II: Parametrization, Correlation, Benchmarking
Raymond Brummelhuis, Zhongmin Luo
The Journal of Financial Data Science Apr 2019, 1 (2) 128-151; DOI: 10.3905/jfds.2019.1.2.128
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  • Article
    • Abstract
    • CROSS-VALIDATION PROCEDURE AND DATASET
    • INTRACLASSIFIER PERFORMANCE COMPARISON AND PARAMETRIZATION
    • CORRELATION EFFECTS
    • COMPARISON OF CDS PROXY METHODS
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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