XVA analysis from the balance sheet

DOI10.1080/14697688.2020.1817533zbMath1479.91387arXiv2009.00368OpenAlexW3105091426MaRDI QIDQ5014178

Rodney Hoskinson, Bouazza Saadeddine, Claudio Albanese, Stéphane Crépey

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.00368

zbMATH Keywords

quantile regressioncounterparty riskdeep learningmarket incompletenesswealth transferX-valuation adjustment (XVA)balance sheet of a bank

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (11)

Sparse grid method for highly efficient computation of exposures for xVA ⋮ Derivatives risks as costs in a one-period network model ⋮ Pathwise CVA regressions with oversimulated defaults ⋮ Quantitative reverse stress testing, bottom up ⋮ XVA in a multi-currency setting with stochastic foreign exchange rates ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments ⋮ Credit, funding, margin, and capital valuation adjustments for bilateral portfolios ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Positive XVAs ⋮ Operational research and artificial intelligence methods in banking

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