Analyzing credit spread changes using explainable artificial intelligence
Julia Heger, Aleksey Min, Rudi Zagst
| Year of publication: |
2024
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| Authors: | Heger, Julia ; Min, Aleksey ; Zagst, Rudi |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 94.2024, Art.-No. 103315, p. 1-17
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| Subject: | Credit spread changes | H-statistic | Hedging | Partial dependence plot | Random forest | SHAP values | Zinsstruktur | Yield curve | Künstliche Intelligenz | Artificial intelligence | Unternehmensanleihe | Corporate bond | Kreditrisiko | Credit risk | Kreditmarkt | Credit market | Risikoprämie | Risk premium | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2024.103315 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014543984