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• W3134239780 abstract "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 utilises a coupled system of BSDEs for the valuation adjustments (xVA) and solves these by a recursive application of a neural network based BSDE solver. This not only makes the computation of xVA for high-dimensional problems feasible, but also produces hedge ratios and dynamic risk measures for xVA, and allows simulations of the collateral account." @default.
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• W3134239780 date "2020-01-01" @default.
• W3134239780 modified "2023-10-14" @default.
• W3134239780 title "Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework" @default.
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• W3134239780 doi "https://doi.org/10.2139/ssrn.3594076" @default.
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