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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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2 results for “Equity-to-Credit”
Credit spread approximation and improvement using random forest regressionq-fin.ST

Paper offers a simple CDS approximation formula with high accuracy.

problem Lack of CDS levels for market appreciation of companies' default risk.
method Developed a global and transparent Equity-to-Credit (E2C) formula using random forest regression.
result Random forest regression with E2C formula achieves 87.3% out-of-sample accuracy in CDS approximations.
Credit Default SwapsRandom Forest RegressionCDS ApproximationEquity-to-CreditCreditGrades
2021-06-04abs ↗pdf ↗