1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2018★ 1 cited
Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives
Raymond Brummelhuis, Zhongmin Luo
Absence-of-Arbitrage (AoA) is the basic assumption underpinning derivatives pricing theory. As part of the OTC derivatives market, the CDS market not only provides a vehicle for pa…
q-fin.ST2017
CDS Rate Construction Methods by Machine Learning Techniques
Raymond Brummelhuis, Zhongmin Luo
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…