Deep xVA Solver โ A Neural Network Based Counterparty Credit Risk Management Framework
Deep xVA Solver โ 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 utilises a coupled system of BSDEs for the valuation adjustments (xVA) and solves these by a recursive application โฆ