Deep xVA solver -- a neural network based counterparty credit risk management framework
In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective. The new method utilizes a coupled system of BSDEs for the valuation adjustments...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2023
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