IDEAS home Printed from https://ideas.repec.org/a/rpo/ripoec/v96y2006i6p187-221.html
   My bibliography  Save this article

The Application of Neural Networks to the Pricing of Credit Derivatives

Author

Listed:
  • Alessandro Ludovici

    (Università "G. d’Annunzio", Chieti-Pescara)

Abstract

The present paper deals with a new approach to the pricing of credit derivatives, which are innovative financial instruments able to immunize a securities portfolio from the default risk of the issuers, using neural networks. After an essential analysis of the most important topics inherent to these nonlinear statistical instruments, particular emphasis, due to their diffusion, has been put on the characters of Credit Default Swaps and on the particularities of the structural and reduced form approaches proposed for their analysis. In the final part of the paper the effectiveness of neural networks in approximating the evaluation of credit derivatives and in improving the timing in the default prevision is illustrated.

Suggested Citation

  • Alessandro Ludovici, 2006. "The Application of Neural Networks to the Pricing of Credit Derivatives," Rivista di Politica Economica, SIPI Spa, vol. 96(6), pages 187-221, November-.
    • Handle: RePEc:rpo:ripoec:v:96:y:2006:i:6:p:187-221
    as

    Download full text from publisher

    File URL: http://www.rivistapoliticaeconomica.it/2006/nov_dic/pdf/Ludovici_eng.pdf
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rpo:ripoec:v:96:y:2006:i:6:p:187-221. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sabrina Marino (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.