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

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.