scholarly journals CDS Rate Construction Methods by Machine Learning Techniques

2017 ◽  
Author(s):  
Raymond Brummelhuis ◽  
Zhongmin Luo
Keyword(s):  
Machine Learning ◽  
Financial Institutions ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Financial Variables ◽  
Construction Methods ◽  
Learning Techniques ◽  
Classifier Performance ◽  
Default Risks ◽  
The Impact

Regulators require financial institutions to estimate counterparty default risks from liquid CDS quotes for the valuation and risk management of OTC derivatives. However, the vast majority of counterparties do not have liquid CDS quotes and need proxy CDS rates. Existing methods cannot account for counterparty-specific default risks; we propose to construct proxy CDS rates by associating to illiquid counterparty liquid CDS Proxy based on Machine Learning Techniques. After testing 156 classifiers from 8 most popular classifier families, we found that some classifiers achieve highly satisfactory accuracy rates. Furthermore, we have rank-ordered the performances and investigated performance variations amongst and within the 8 classifier families. This paper is, to the best of our knowledge, the first systematic study of CDS Proxy construction by Machine Learning techniques, and the first systematic classifier comparison study based entirely on financial market data. Its findings both confirm and contrast existing classifier performance literature. Given the typically highly correlated nature of financial data, we investigated the impact of correlation on classifier performance. The techniques used in this paper should be of interest for financial institutions seeking a CDS Proxy method, and can serve for proxy construction for other financial variables. Some directions for future research are indicated.

Machine Learning

2012 ◽  
pp. 13-22 ◽  
Author(s):  
João Gama ◽  
André C.P.L.F. de Carvalho
Keyword(s):  
Machine Learning ◽  
Language Processing ◽  
Text Processing ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Background Information ◽  
Future Research ◽  
Personal View ◽  
Learning Techniques ◽  
Future Research Directions

Machine learning techniques have been successfully applied to several real world problems in areas as diverse as image analysis, Semantic Web, bioinformatics, text processing, natural language processing,telecommunications, finance, medical diagnosis, and so forth. A particular application where machine learning plays a key role is data mining, where machine learning techniques have been extensively used for the extraction of association, clustering, prediction, diagnosis, and regression models. This text presents our personal view of the main aspects, major tasks, frequently used algorithms, current research, and future directions of machine learning research. For such, it is organized as follows: Background information concerning machine learning is presented in the second section. The third section discusses different definitions for Machine Learning. Common tasks faced by Machine Learning Systems are described in the fourth section. Popular Machine Learning algorithms and the importance of the loss function are commented on in the fifth section. The sixth and seventh sections present the current trends and future research directions, respectively.

Machine Learning

2011 ◽  
pp. 2462-2468 ◽  
Author(s):  
João Gama ◽  
André C.P.L.F. de Carvalho
Keyword(s):  
Machine Learning ◽  
Language Processing ◽  
Text Processing ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Background Information ◽  
Future Research ◽  
Personal View ◽  
Learning Techniques ◽  
Future Research Directions

Machine learning techniques have been successfully applied to several real world problems in areas as diverse as image analysis, Semantic Web, bioinformatics, text processing, natural language processing,telecommunications, finance, medical diagnosis, and so forth. A particular application where machine learning plays a key role is data mining, where machine learning techniques have been extensively used for the extraction of association, clustering, prediction, diagnosis, and regression models. This text presents our personal view of the main aspects, major tasks, frequently used algorithms, current research, and future directions of machine learning research. For such, it is organized as follows: Background information concerning machine learning is presented in the second section. The third section discusses different definitions for Machine Learning. Common tasks faced by Machine Learning Systems are described in the fourth section. Popular Machine Learning algorithms and the importance of the loss function are commented on in the fifth section. The sixth and seventh sections present the current trends and future research directions, respectively.

Machine Learning Techniques and Risk Management

2021 ◽  
pp. 185-200
Author(s):  
Christos Floros ◽  
Panagiotis Ballas
Keyword(s):  
Machine Learning ◽  
Financial Institutions ◽  
Business Practice ◽  
Machine Learning Techniques ◽  
Accounting Disclosure ◽  
Future Performance ◽  
Learning Techniques ◽  
The World ◽  
Unstable Environment

Crises around the world reveal a generally unstable environment in the last decades within which banks and financial institutions operate. Risk is an inherent characteristic of financial institutions and is a multifaceted phenomenon. Everyday business practice involves decisions, which requires the use of information regarding various types of threats involved together with an evaluation of their impact on future performance, concluding to combinations of types of risks and projected returns for decision makers to choose from. Moreover, financial institutions process a massive amount of data, collected either internally or externally, in an effort to continuously analyse trends of the economy they operate in and decode global economic conditions. Even though research has been performed in the field of accounting and finance, the authors explore the application of machine learning techniques to facilitate decision making by top management of contemporary financial institutions improving the quality of their accounting disclosure.

Leveraging Machine Learning in Financial Fraud Forensics in the Age of Cybersecurity

2022 ◽  
pp. 220-249
Author(s):  
Md Ariful Haque ◽  
Sachin Shetty
Keyword(s):  
Machine Learning ◽  
Financial Institutions ◽  
Machine Learning Techniques ◽  
Cyber Attack ◽  
Financial Industry ◽  
Security Breaches ◽  
Financial Gain ◽  
Learning Techniques ◽  
Machine Learning Model ◽  
Machine Learning Models

Financial sectors are lucrative cyber-attack targets because of their immediate financial gain. As a result, financial institutions face challenges in developing systems that can automatically identify security breaches and separate fraudulent transactions from legitimate transactions. Today, organizations widely use machine learning techniques to identify any fraudulent behavior in customers' transactions. However, machine learning techniques are often challenging because of financial institutions' confidentiality policy, leading to not sharing the customer transaction data. This chapter discusses some crucial challenges of handling cybersecurity and fraud in the financial industry and building machine learning-based models to address those challenges. The authors utilize an open-source e-commerce transaction dataset to illustrate the forensic processes by creating a machine learning model to classify fraudulent transactions. Overall, the chapter focuses on how the machine learning models can help detect and prevent fraudulent activities in the financial sector in the age of cybersecurity.

Machine Learning Techniques to Identify and Characterize Sleep Disorders Using Biosignals

2021 ◽  
pp. 136-160
Author(s):  
Mercedes Barrachina ◽  
Laura Valenzuela López
Keyword(s):  
Machine Learning ◽  
Sleep Disorders ◽  
Adult Population ◽  
The United States ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Research Directions ◽  
Learning Techniques ◽  
Control And Prevention ◽  
Future Research Directions

Sleep disorders are related to many different diseases, and they could have a significant impact in patients' health, causing an economic impact to the society and to the national health systems. In the United States, according to information from the Center for Disease Control and Prevention, those disorders are affecting 50-70 million in the adult population. Sleep disorders are causing annually around 40,000 deaths due to cardiovascular problems, and they cost the health system more than 16 billion. In other countries, such as in Spain, those disorders affect up to 48% of the adult population. The main objective of this chapter is to review and evaluate the different machine learning techniques utilized by researchers and medical professionals to identify, assess, and characterize sleep disorders. Moreover, some future research directions are proposed considering the evaluated area.

scholarly journals Machine learning analysis of lifeguard flag decisions and recorded rescues

2019 ◽  
Vol 19 (11) ◽  
pp. 2541-2549
Author(s):  
Chris Houser ◽  
Jacob Lehner ◽  
Nathan Cherry ◽  
Phil Wernette
Keyword(s):  
Machine Learning ◽  
The United States ◽  
Machine Learning Techniques ◽  
Public Health Issue ◽  
Rip Currents ◽  
Effective Strategies ◽  
Wave Forcing ◽  
Learning Techniques ◽  
Yellow Flag ◽  
The Impact

Abstract. Rip currents and other surf hazards are an emerging public health issue globally. Lifeguards, warning flags, and signs are important, and to varying degrees they are effective strategies to minimize risk to beach users. In the United States and other jurisdictions around the world, lifeguards use coloured flags (green, yellow, and red) to indicate whether the danger posed by the surf and rip hazard is low, moderate, or high respectively. The choice of flag depends on the lifeguard(s) monitoring the changing surf conditions along the beach and over the course of the day using both regional surf forecasts and careful observation. There is a potential that the chosen flag is not consistent with the beach user perception of the risk, which may increase the potential for rescues or drownings. In this study, machine learning is used to determine the potential for error in the flags used at Pensacola Beach and the impact of that error on the number of rescues. Results of a decision tree analysis indicate that the colour flag chosen by the lifeguards was different from what the model predicted for 35 % of days between 2004 and 2008 (n=396/1125). Days when there is a difference between the predicted and posted flag colour represent only 17 % of all rescue days, but those days are associated with ∼60 % of all rescues between 2004 and 2008. Further analysis reveals that the largest number of rescue days and total number of rescues are associated with days where the flag deployed over-estimated the surf and hazard risk, such as a red or yellow flag flying when the model predicted a green flag would be more appropriate based on the wind and wave forcing alone. While it is possible that the lifeguards were overly cautious, it is argued that they most likely identified a rip forced by a transverse-bar and rip morphology common at the study site. Regardless, the results suggest that beach users may be discounting lifeguard warnings if the flag colour is not consistent with how they perceive the surf hazard or the regional forecast. Results suggest that machine learning techniques have the potential to support lifeguards and thereby reduce the number of rescues and drownings.

scholarly journals Monitoring the Impact of Air Quality on the COVID-19 Fatalities in Delhi, India: Using Machine Learning Techniques

2020 ◽  
pp. 1-8
Author(s):  
Jasleen Kaur Sethi ◽  
Mamta Mittal
Keyword(s):  
Machine Learning ◽  
Air Quality ◽  
Air Pollutants ◽  
Machine Learning Techniques ◽  
Environmental Restoration ◽  
The Novel ◽  
Ozone Pollution ◽  
Learning Techniques ◽  
Novel Coronavirus ◽  
The Impact

ABSTRACT Objective: The focus of this study is to monitor the effect of lockdown on the various air pollutants due to the coronavirus disease (COVID-19) pandemic and identify the ones that affect COVID-19 fatalities so that measures to control the pollution could be enforced. Methods: Various machine learning techniques: Decision Trees, Linear Regression, and Random Forest have been applied to correlate air pollutants and COVID-19 fatalities in Delhi. Furthermore, a comparison between the concentration of various air pollutants and the air quality index during the lockdown period and last two years, 2018 and 2019, has been presented. Results: From the experimental work, it has been observed that the pollutants ozone and toluene have increased during the lockdown period. It has also been deduced that the pollutants that may impact the mortalities due to COVID-19 are ozone, NH3, NO2, and PM10. Conclusions: The novel coronavirus has led to environmental restoration due to lockdown. However, there is a need to impose measures to control ozone pollution, as there has been a significant increase in its concentration and it also impacts the COVID-19 mortality rate.

scholarly journals Machine learning for energy-water nexus: challenges and opportunities

2018 ◽  
Vol 2 (3) ◽  
pp. 228-267 ◽  
Author(s):  
Zaidi ◽  
Chandola ◽  
Allen ◽  
Sanyal ◽  
Stewart ◽  
...  
Keyword(s):  
Machine Learning ◽  
Energy Systems ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Technological Advancement ◽  
Research Directions ◽  
Learning Techniques ◽  
Challenges And Opportunities ◽  
Future Research Directions ◽  
System Sustainability

Modeling the interactions of water and energy systems is important to the enforcement of infrastructure security and system sustainability. To this end, recent technological advancement has allowed the production of large volumes of data associated with functioning of these sectors. We are beginning to see that statistical and machine learning techniques can help elucidate characteristic patterns across these systems from water availability, transport, and use to energy generation, fuel supply, and customer demand, and in the interdependencies among these systems that can leave these systems vulnerable to cascading impacts from single disruptions. In this paper, we discuss ways in which data and machine learning can be applied to the challenges facing the energy-water nexus along with the potential issues associated with the machine learning techniques themselves. We then survey machine learning techniques that have found application to date in energy-water nexus problems. We conclude by outlining future research directions and opportunities for collaboration among the energy-water nexus and machine learning communities that can lead to mutual synergistic advantage.

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