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XVA analysis from the balance sheet - MaRDI portal

XVA analysis from the balance sheet (Q5014178)

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scientific article; zbMATH DE number 7436779
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English
XVA analysis from the balance sheet
scientific article; zbMATH DE number 7436779

    Statements

    title
    XVA analysis from the balance sheet (English)
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    author
    Claudio Albanese
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    Stéphane Crépey
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    Rodney Hoskinson
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    Bouazza Saadeddine
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    publication date
    1 December 2021
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    zbMATH Keywords
    counterparty risk
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    balance sheet of a bank
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    market incompleteness
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    wealth transfer
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    X-valuation adjustment (XVA)
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    deep learning
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    quantile regression
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    cites work
    Arbitrage‐free XVA
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    Invariance times
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    Q5169724
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    Q5270493
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G10
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    62G08
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    68T07
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    zbMATH DE Number
    7436779
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    OpenAlex ID
    W3105091426
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    arXiv ID
    2009.00368
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