Neural Network for CVA: Learning Future Values

Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

“…Gnoatto et al (2021) [15] present another deep backward SDE solver that enables high-dimensional computation of xVA. She and Grecu (2018) [36] moreover apply the backward SDE solver to calculate CVA/DVA. Welack (2019) [38] introduces an ANN approach to get market and trade data from expected exposure.…”

Deep xVA solver -- A neural network based counterparty credit risk management framework

“…The line of computational methods we follow has been initiated in the context of high-dimensional nonlinear PDEs, in E et al (2017) and further investigated in Henry-Labordere (2017) and Fujii et al (2019), and has led to the so-called Deep BSDE Solver. By way of financial applications, and xVA specifically, a primal-dual extension to the Deep BSDE Solver has been developed in Henry-Labordere (2017) and tested on stylised CVA-and IM(Initial Margin)-type PDEs; the Deep BSDE Solver has also been applied specifically to exposure computations for a Bermudan swaption and a cross-currency swap in She and Grecu (2017). Our approach goes beyond these earlier works in the following regards: we…”