L
Luke Jordan
Researcher at Massachusetts Institute of Technology
Publications - 1
Luke Jordan is an academic researcher from Massachusetts Institute of Technology. The author has contributed to research in topics: Fixed income & Bond credit rating. The author has co-authored 1 publications.
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Bond Default Prediction with Text Embeddings, Undersampling and Deep Learning.
TL;DR: This article used a combination of text embeddings from a pre-trained transformer network, a fully connected neural network, and synthetic oversampling to predict 9 out of 10 defaults for municipal bonds, at a cost of false positives on less than 0.1% non-defaulting bonds.