Personal website of Aurélien Vermylen

Cross-sectional methods for Proxy Credit Spreads

“Nomura” method

Recently, I’ve been working on the so-called “Nomura” method for proxy credit spreads (see this paper). The paper, published in February 2013, basically proposes to model a credit spread by a multiplication of different factors:

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Pubishing my website


I’ve been a mostly offline person up until now, having no LinkedIn and only a passive Facebook and Twitter. In many domains of my life, though, I’m experiencing a desire to share what I’m doing. This website will be designed for that.

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Trying Tags

I’m trying to get tags to work with gohugo, the static website builder I’m using to build this website…

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