Multi-Layer Deep xVA Credit Models
The authors suggest a structural default model for portfolio-wide valuation adjustments, using a deep BSDE approach to handle each layer sequentially, making the computation manageable.
Featured in No. 87 on 5 Mar 2025 · 8 days after release
- Released
- 25 Feb 2025
- First featured
- No. 87 · 5 Mar 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 75
- Identifier
- SSRN 5147413
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