Athena Picarelli

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

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Scholarly Papers (1)

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Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework

Number of pages: 25 Posted: 03 Jun 2020 Last Revised: 25 Aug 2020
Alessandro Gnoatto, Christoph Reisinger and Athena Picarelli
University of Verona - Department of Economics, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Verona - Department of Economics
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Abstract:

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CVA, DVA, FVA, ColVA, xVA, EPE, Collateral, xVA hedging, Deep BSDE Solver