Pathwise CVA regressions with oversimulated defaults

DOI10.1111/mafi.12368zbMath1522.91253arXiv2211.17005OpenAlexW4312178575MaRDI QIDQ6078661

Bouazza Saadeddine, Stéphane Crépey, Lokman A. Abbas-Turki

Publication date: 28 September 2023

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

Full work available at URL: https://arxiv.org/abs/2211.17005

zbMATH Keywords

machine learninghierarchical simulationX-valuation adjustment (XVA)neural net regression

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Derivatives risks as costs in a one-period network model

Cites Work

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• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework

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