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& CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing
, 2008 openaire +2 more sources
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Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning
arXiv.orgThis paper presents the experimental process and results of SVM, Gradient Boosting, and an Attention-GRU Hybrid model in predicting the Implied Volatility of rolled-over five-year spread contracts of credit default swaps (CDS) on European corporate debt ...
Robert Taylor
semanticscholar +1 more source
Excess liquidity premia of single-name CDS vs iTraxx/CDX spreads: 2007-2017
Mariya Gubareva
openalex +2 more sources
What does the iTraxx Term Premium tell us about the Euro zone sovereign debt crisis
, 2012 Giovanni Calice
openalex
CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for pricing iTraxx
, 2008 Jean-Michel Bourdoux +2 more
openalex
Some notes on the empirical relationship between the CDX and the iTraxx indices
, 2009 Giovanni Calice
openalex
Forecasting and investing with CDS: the case of iTraxx Financials
, 2018 Pierfrancesco Cisotto
openalex
CDX and iTraxx and their relation to the banking system: evidence from the financial crisis
, 2009 Giovanni Calice
openalex