arXiv Open Access 2024

CVA Sensitivities, Hedging and Risk

Stéphane Crépey Botao Li Hoang Nguyen Bouazza Saadeddine

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Abstrak

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.

Topik & Kata Kunci

q-fin.CP

Penulis (4)

Stéphane Crépey

Botao Li

Hoang Nguyen

Bouazza Saadeddine

Format Sitasi

APA MLA BibTeX

Crépey, S., Li, B., Nguyen, H., Saadeddine, B. (2024). CVA Sensitivities, Hedging and Risk. https://arxiv.org/abs/2407.18583

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Informasi Jurnal

Tahun Terbit: 2024
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓