{"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/deep-xva-solver-a-neural-network-based","title":"Deep xVA solver -- A neural network based counterparty credit risk management framework","arxiv_id":"2005.02633","date":"2020-05-06","proceeding":null,"authors":["Alessandro Gnoatto","Athena Picarelli","Christoph Reisinger"],"abstract":"In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective. The new method utilises a coupled system of BSDEs for the valuation adjustments (xVA) and solves these by a recursive application of a neural network based BSDE solver. This not only makes the computation of xVA for high-dimensional problems feasible, but also produces hedge ratios and dynamic risk measures for xVA, and allows simulations of the collateral account.","url_abs":"https://arxiv.org/abs/2005.02633v4","url_pdf":"https://arxiv.org/pdf/2005.02633v4.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":"deep-xva-solver-a-neural-network-based","repo_url":"https://github.com/AlessandroGnoatto/Deep-xVA-Solver","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"tf","reach":null}],"tasks":[{"task_slug":"management","task_name":"Management"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}