Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
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Publication:6159074
DOI10.1137/21m1457606zbMath1516.91065arXiv2005.02633OpenAlexW3023814359MaRDI QIDQ6159074
Athena Picarelli, Alessandro Gnoatto, Christoph Reisinger
Publication date: 1 June 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.02633
Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Credit risk (91G40)
Related Items (5)
Pathwise CVA regressions with oversimulated defaults ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Extending the Merton model with applications to credit value adjustment ⋮ Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations ⋮ A fully quantization-based scheme for FBSDEs
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