{"id":"https://openalex.org/W2143436114","doi":"https://doi.org/10.1109/ijcnn.2010.5596371","title":"Credit default swap pricing using artificial neural networks","display_name":"Credit default swap pricing using artificial neural networks","publication_year":2010,"publication_date":"2010-07-01","ids":{"openalex":"https://openalex.org/W2143436114","doi":"https://doi.org/10.1109/ijcnn.2010.5596371","mag":"2143436114"},"language":"en","primary_location":{"id":"doi:10.1109/ijcnn.2010.5596371","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ijcnn.2010.5596371","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The 2010 International Joint Conference on Neural Networks (IJCNN)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029126771","display_name":"Khaled Shaban","orcid":"https://orcid.org/0000-0002-5688-7515"},"institutions":[{"id":"https://openalex.org/I60342839","display_name":"Qatar University","ror":"https://ror.org/00yhnba62","country_code":"QA","type":"education","lineage":["https://openalex.org/I60342839"]}],"countries":["QA"],"is_corresponding":true,"raw_author_name":"Khaled Shaban","raw_affiliation_strings":["Department of Computer Science and Engineering, College of Engineering, Qatar University, Doha, Qatar","Department of Computer Science and Engineering, College of Engineering, Qatar University, P.O. Box 2713, Doha, Qatar"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Engineering, College of Engineering, Qatar University, Doha, Qatar","institution_ids":["https://openalex.org/I60342839"]},{"raw_affiliation_string":"Department of Computer Science and Engineering, College of Engineering, Qatar University, P.O. Box 2713, Doha, Qatar","institution_ids":["https://openalex.org/I60342839"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5111953593","display_name":"Abdunnaser Younes","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Abdunnaser Younes","raw_affiliation_strings":["Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1"],"affiliations":[{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102061513","display_name":"Robert Lam","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Robert Lam","raw_affiliation_strings":["Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1"],"affiliations":[{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5001003908","display_name":"Michael Allison","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Michael Allison","raw_affiliation_strings":["Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1"],"affiliations":[{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5011320344","display_name":"Shajeehan Kathirgamanathan","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Shajeehan Kathirgamanathan","raw_affiliation_strings":["Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1"],"affiliations":[{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, Waterloo, ONT, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Systems Design Engineering, Faculty of Engineering, University of Waterloo, 200 University Ave. W., ON, Canada, N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5029126771"],"corresponding_institution_ids":["https://openalex.org/I60342839"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.14446322,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"50","issue":null,"first_page":"1","last_page":"8"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T13702","display_name":"Machine Learning in Healthcare","score":0.9807999730110168,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T13702","display_name":"Machine Learning in Healthcare","score":0.9807999730110168,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.9645000100135803,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T14470","display_name":"Advanced Data Processing Techniques","score":0.9445000290870667,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-default-swap","display_name":"Credit default swap","score":0.9124460816383362},{"id":"https://openalex.org/keywords/itraxx","display_name":"iTraxx","score":0.832528829574585},{"id":"https://openalex.org/keywords/credit-default-swap-index","display_name":"Credit default swap index","score":0.8235936164855957},{"id":"https://openalex.org/keywords/credit-derivative","display_name":"Credit derivative","score":0.7166200876235962},{"id":"https://openalex.org/keywords/swap","display_name":"Swap (finance)","score":0.6352025270462036},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.6102946996688843},{"id":"https://openalex.org/keywords/synthetic-cdo","display_name":"Synthetic CDO","score":0.5071084499359131},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.504196047782898},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.4982924461364746},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.4847404658794403},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.42535486817359924},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.38091233372688293},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3464376628398895},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.34262415766716003},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.26318657398223877},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.24857497215270996},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.23678189516067505},{"id":"https://openalex.org/keywords/credit-reference","display_name":"Credit reference","score":0.21163183450698853},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.17892295122146606}],"concepts":[{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.9124460816383362},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.832528829574585},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.8235936164855957},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.7166200876235962},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.6352025270462036},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.6102946996688843},{"id":"https://openalex.org/C21780383","wikidata":"https://www.wikidata.org/wiki/Q7662723","display_name":"Synthetic CDO","level":5,"score":0.5071084499359131},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.504196047782898},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.4982924461364746},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.4847404658794403},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.42535486817359924},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38091233372688293},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3464376628398895},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.34262415766716003},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.26318657398223877},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.24857497215270996},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23678189516067505},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.21163183450698853},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.17892295122146606},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/ijcnn.2010.5596371","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ijcnn.2010.5596371","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The 2010 International Joint Conference on Neural Networks (IJCNN)","raw_type":"proceedings-article"},{"id":"pmh:oai:qspace.qu.edu.qa:10576/37498","is_oa":false,"landing_page_url":"http://hdl.handle.net/10576/37498","pdf_url":null,"source":{"id":"https://openalex.org/S4306400014","display_name":"Qatar University QSpace (Qatar University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I60342839","host_organization_name":"Qatar University","host_organization_lineage":["https://openalex.org/I60342839"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Reduced inequalities","score":0.5899999737739563,"id":"https://metadata.un.org/sdg/10"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W295653788","https://openalex.org/W1543659671","https://openalex.org/W1577207550","https://openalex.org/W1594842258","https://openalex.org/W1832337248","https://openalex.org/W2074107564","https://openalex.org/W2100642247","https://openalex.org/W2110569122","https://openalex.org/W2110652040","https://openalex.org/W2112884743","https://openalex.org/W2142996378","https://openalex.org/W2170857480","https://openalex.org/W3121392393","https://openalex.org/W3124496143","https://openalex.org/W4285719527","https://openalex.org/W6634663591","https://openalex.org/W6674908685","https://openalex.org/W6676494488"],"related_works":["https://openalex.org/W4232579134","https://openalex.org/W2118383063","https://openalex.org/W70462951","https://openalex.org/W2164970907","https://openalex.org/W1593621785","https://openalex.org/W2143436114","https://openalex.org/W2281031378","https://openalex.org/W2486306521","https://openalex.org/W1997898672","https://openalex.org/W3122085638"],"abstract_inverted_index":{"The":[0],"credit":[1,27,30,45,67,92],"derivatives":[2],"market":[3],"has":[4,83],"experienced":[5],"unprecedented":[6],"growth":[7],"over":[8],"the":[9,24,29,52,63,78,85,88],"past":[10],"few":[11],"years.":[12],"As":[13],"such,":[14],"there":[15],"is":[16],"a":[17],"growing":[18],"interest":[19],"in":[20],"tools":[21],"for":[22],"pricing":[23,58],"most":[25],"prominent":[26],"derivative,":[28],"default":[31,46,68,93],"swap.":[32],"In":[33,49],"this":[34],"paper,":[35],"we":[36],"present":[37],"several":[38],"artificial":[39],"neural":[40],"networks":[41,61],"that":[42,77],"predict":[43],"real-world":[44],"swap":[47,69,94],"prices.":[48,73],"addition":[50],"to":[51],"input":[53],"parameters":[54,82],"used":[55],"by":[56],"analytical":[57],"strategies,":[59],"these":[60],"explore":[62],"use":[64],"of":[65,80,87,91],"historic":[66,81],"prices":[70],"and":[71],"equity":[72],"It":[74],"was":[75],"found":[76],"inclusion":[79],"increased":[84],"accuracy":[86],"network's":[89],"prediction":[90],"prices..":[95]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}