Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning

Robert Taylor

Papers from arXiv.org

Abstract: This 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 during the quarter following mid-May '24, as represented by the iTraxx/Cboe Europe Main 1-Month Volatility Index (BP Volatility). The analysis employs a feature matrix inspired by Merton's determinants of default probability. Our comparative assessment aims to identify strengths in SOTA and classical machine learning methods for financial risk prediction

Date: 2024-08
New Economics Papers: this item is included in nep-big, nep-fmk, nep-ipr and nep-rmg
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