Bouazza Saadeddine

Jul 25, 2024 | risk.net | Stéphane Crépey |Botao Li |Hoang Nguyen |Hoàng Nguyên |Hoàng Nguyễn |Bouazza Saadeddine

Tweet Facebook LinkedIn Save this article Send to Print this page  CLICK HERE TO DOWNLOAD PDFStéphane Crépey, Bouazza Saadeddine, Botao Li and Hoang Nguyen present a framework for computing credit valuation adjustment (CVA) sensitivities, hedging the CVA and assessing CVA risk, using probabilistic machine learning as a refined regression tool applied to simulated data, which can be validated by low-cost companion Monte Carlo procedures.