{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/cva-sensitivities-hedging-and-risk","title":"CVA Sensitivities, Hedging and Risk","arxiv_id":"2407.18583","date":"2024-07-26","proceeding":null,"authors":["Stéphane Crépey","Botao Li","Hoang Nguyen","Bouazza Saadeddine"],"abstract":"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.","url_abs":"https://arxiv.org/abs/2407.18583v1","url_pdf":"https://arxiv.org/pdf/2407.18583v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"cva-sensitivities-hedging-and-risk","repo_url":"https://github.com/bouazzase/neuralxva","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"regression-1","task_name":"regression"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}