CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning
The study uses risk-averse Reinforcement Learning for managing potential credit losses on a derivatives portfolio, proving its effectiveness through a numerical study for a portfolio consisting of a single FX forward contract.
Featured in No. 31 on 3 Jan 2024 · 12 days after release · 2 citations today
- Released
- 22 Dec 2023
- First featured
- No. 31 · 3 Jan 2024
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4673150
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