{"id":792,"date":"2014-10-20T12:00:42","date_gmt":"2014-10-20T11:00:42","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=792"},"modified":"2015-07-27T09:40:45","modified_gmt":"2015-07-27T08:40:45","slug":"marmi-s-nassigh-a-and-regoli-d-2014-sovereign-ratings-implied-by-coupled-cds-bond-market-data","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/marmi-s-nassigh-a-and-regoli-d-2014-sovereign-ratings-implied-by-coupled-cds-bond-market-data\/","title":{"rendered":"Marmi, S., Nassigh, A. and Regoli, D. (2014). Sovereign Ratings Implied by Coupled CDS-Bond Market Data"},"content":{"rendered":"<p><strong>Abstract<br \/>\n<\/strong>We propose an approach to sovereign market implied ratings based on information coming both from Credit Default Swap spreads and bond spreads in a unified way. Operationally speaking, we implement a Support Vector Machine type of selection in the plane CDS-bond. Our numerical results seem to confirm that introducing the bond dimension accounts for implied ratings more accurate and with greater predictive power with respect to the 1-dimensional CDS implied ratings.<\/p>\n<p>Available at <a href=\"http:\/\/ssrn.com\/abstract=2512238\" target=\"_blank\">http:\/\/ssrn.com\/abstract=2512238<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Abstract We propose an approach to sovereign market implied ratings based on information coming both from Credit Default Swap spreads and bond spreads in a unified way. Operationally speaking, we implement a Support Vector Machine type of selection in the plane CDS-bond. Our numerical results seem to confirm that introducing the bond dimension accounts for [&hellip;]<\/p>\n","protected":false},"author":12,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[11],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/792"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/12"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=792"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/792\/revisions"}],"predecessor-version":[{"id":794,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/792\/revisions\/794"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=792"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=792"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=792"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}