XVA analysis from the balance sheet
From MaRDI portal
Publication:5014178
DOI10.1080/14697688.2020.1817533zbMath1479.91387arXiv2009.00368MaRDI QIDQ5014178
Claudio Albanese, Stéphane Crépey, Rodney Hoskinson, Bouazza Saadeddine
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
quantile regression; counterparty risk; deep learning; market incompleteness; wealth transfer; X-valuation adjustment (XVA); balance sheet of a bank
62G08: Nonparametric regression and quantile regression
68T07: Artificial neural networks and deep learning
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory