CVA 敏感性、套期保值和风险

arXiv - QuantFin - Computational Finance Pub Date : 2024-07-26 DOI:arxiv-2407.18583

Stéphane CrépeyUFR Mathématiques UPCité, Botao LiLPSM, Hoang NguyenIES, LPSM, Bouazza Saadeddine

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引用次数: 0

摘要

我们提出了一个计算 CVA 敏感度、对冲 CVA 和评估 CVA 风险的统一框架，使用概率机器学习作为模拟数据上的精炼回归工具，并可通过低成本的配套蒙特卡罗程序进行验证。我们引入了各种敏感性概念，并对其进行了数值基准测试。我们确定了代表下游任务（包括 CVA 对冲和风险评估）中最佳实用权衡的敏感性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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CVA Sensitivities, Hedging and Risk

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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arXiv - QuantFin - Computational Finance

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