Comparing Prediction Power of Artificial Neural Networks Compound Models in Predicting Credit Default Swap Prices through Black–Scholes–Merton Model

Comparison of Artificial Neural Networks and Cox Regression Models in Prediction of Kidney Transplant Survival

Cox regression model serves as a statistical method for analyzing the survival data, which requires some options such as hazard proportionality. In recent decades, artificial neural network model has been increasingly applied to predict survival data. This research was conducted to compare Cox regression and artificial neural network models in prediction of kidney transplant survival. The prese...

Comparison of Artificial Neural Networks and Cox Regression Models in Prediction of Kidney Transplant Survival

Cox regression model serves as a statistical method for analyzing the survival data, which requires some options such as hazard proportionality. In recent decades, artificial neural network model has been increasingly applied to predict survival data. This research was conducted to compare Cox regression and artificial neural network models in prediction of kidney transplant survival. The prese...

Credit Risk Modeling for Companies Default Prediction Using Neural Networks

The paper assesses the business default risk on a cross-national sample of 3000 companies applying for credit to an international bank operating in Romania. The structure of the sample replicates the structure of the general population of companies in Romania. Based on their past credit history, we have distributed the companies in seven classes plus the default, using and adapting the Standard...

Constant Maturity Credit Default Swap Pricing with Market Models

In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market under the LIBOR market model. A “convexity adjustment”-like correction is present...

Transparency in Credit Default Swap Markets

We provide an inventory of existing forms of transparency in CDS markets and discuss methods that may be used to increase transparency as well as their benefits and costs. In particular, we attempt to identify to whom such benefits and costs accrue (broker-dealers, end users, etc). We argue that increased market transparency has a cost, which must be weighed against its benefits in terms of mar...

Hedging of Basket Credit Derivatives in Credit Default Swap Market