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CVA Sensitivities, Hedging and Risk
Working paper   Open access

CVA Sensitivities, Hedging and Risk

Stéphane Crépey, Botao Li, Hoang Nguyen and Bouazza Saadeddine

Abstract

CVA sensitivities neural networks model risk
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.
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