Top-level heading

Deep XVA solver: a neural network based counterparty credit risk management framework

Data e ora inizio evento
Data e ora fine evento
Sede

Dipartimento di Matematica Guido Castelnuovo, Università Sapienza Roma

Aula
Altro (Aula esterna al Dipartimento)
Aula esterna
ZOOM Meeting
Speaker ed affiliazione

Athena Picarelli, Università di Verona

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 backward stochastic differential equations (BSDEs) for the valuation adjustments and solves these by a neural network based BSDE solver.