CVA Sensitivities, Hedging and Risk - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2024

CVA Sensitivities, Hedging and Risk

Résumé

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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Dates et versions

hal-04661959 , version 1 (26-07-2024)

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Stéphane Crépey, Botao Li, Hoang Nguyen, Bouazza Saadeddine. CVA Sensitivities, Hedging and Risk. 2024. ⟨hal-04661959⟩
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