{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/evaluating-credit-vix-cds-iv-prediction","title":"Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning","arxiv_id":"2408.15404","date":"2024-08-27","proceeding":null,"authors":["Robert Taylor"],"abstract":"This paper presents the experimental process and results of SVM, Gradient Boosting, and an Attention-GRU Hybrid model in predicting the Implied Volatility of rolled-over five-year spread contracts of credit default swaps (CDS) on European corporate debt during the quarter following mid-May '24, as represented by the iTraxx/Cboe Europe Main 1-Month Volatility Index (BP Volatility). The analysis employs a feature matrix inspired by Merton's determinants of default probability. Our comparative assessment aims to identify strengths in SOTA and classical machine learning methods for financial risk prediction","url_abs":"https://arxiv.org/abs/2408.15404v1","url_pdf":"https://arxiv.org/pdf/2408.15404v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"evaluating-credit-vix-cds-iv-prediction","repo_url":"https://github.com/robtaylor94/Credit-VIX-CDS-IV-Prediction","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"pytorch","reach":null}],"tasks":[],"methods":[{"method_slug":"svm","method_name":"SVM"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}