Machine Learning Models for Interest Rates and Credit (Webinar)
The overview of the webinar:
* For the past four decades of quant research, building a model meant first selecting the model SDE, and then calibrating its parameters
* Today we are on the verge of transition to a new paradigm where model selection and model calibration are replaced by a single step - model learning
* Model learning is more than advanced interpolation - we will show that ML is able to reason about the data in a sophisticated way rather than merely interpolate it
* While the field is still in its infancy, we will present several examples where ML can already outperform the traditional techniques