{"title":"CVA Sensitivities, Hedging and Risk","authors":"Stéphane CrépeyUFR Mathématiques UPCité, Botao LiLPSM, Hoang NguyenIES, LPSM, Bouazza Saadeddine","doi":"arxiv-2407.18583","DOIUrl":null,"url":null,"abstract":"We present a unified framework for computing CVA sensitivities, hedging the\nCVA, and assessing CVA risk, using probabilistic machine learning meant as\nrefined regression tools on simulated data, validatable by low-cost companion\nMonte Carlo procedures. Various notions of sensitivities are introduced and\nbenchmarked numerically. We identify the sensitivities representing the best\npractical trade-offs in downstream tasks including CVA hedging and risk\nassessment.","PeriodicalId":501294,"journal":{"name":"arXiv - QuantFin - Computational Finance","volume":"27 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Computational Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2407.18583","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We present a unified framework for computing CVA sensitivities, hedging the
CVA, and assessing CVA risk, using probabilistic machine learning meant as
refined regression tools on simulated data, validatable by low-cost companion
Monte Carlo procedures. Various notions of sensitivities are introduced and
benchmarked numerically. We identify the sensitivities representing the best
practical trade-offs in downstream tasks including CVA hedging and risk
assessment.
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