Invoke with: /researcher-deep-xva <your question>
Papers
- Deep xVA Solver - A Neural Network Based Counterparty Credit Risk Management Framework
- Multi-Layer Deep xVA - Structural Credit Models, Measure Changes and Convergence Analysis
- Notes on Backward Stochastic Differential Equations for Computing XVA
- Arbitrage-Free Pricing of XVA - Part I Framework and Explicit Examples
- Arbitrage-Free Pricing of XVA - Part II PDE Representation and Numerical Analysis
- A brief review of the Deep BSDE method for solving high-dimensional partial differential equations
- Backward Deep BSDE Methods and Applications to Nonlinear Problems
- A Unified Risk-Averse Framework for XVAs and Hedging Costs
Concepts
- xVA BSDE decomposition
- XVA decomposition into valuation adjustment terms
- nonlinear Feynman-Kac formula
- nonlinear BSDE with jumps
- BSDE with random horizon
- progressively enlarged filtration
- structural credit model
- wrong-way risk in xVA
- stochastic control formulation of PDEs
- differential rates problem
- curse of dimensionality in PDE computation
- viscosity solution for semilinear PDE
- close-out convention and collateral rehypothecation
- Deep BSDE Solver
- multi-layer deep BSDE solver
- forward deep BSDE vs backward deep BSDE
- backward time-stepping for BSDEs
- change of measure for rare defaults in deep BSDE
- deep quantile regression
- Pathwise sensitivity computation via neural network differentiation
- book-funding cost in XVA
- HJB equation for XVA under P
- XVA perturbative expansion
- Riccati system for XVA hedging
- XVA overlay on front-office hedge
- exponential utility BSDE
Books
Expertise
Domain expert on deep BSDE methods for computing XVA (valuation adjustments) in counterparty credit risk. Covers the theoretical BSDE-PDE framework for XVA under asymmetric funding rates and default risk, the stochastic control formulation, and neural network-based numerical solvers including the deep BSDE method, multi-layer deep xVA solver, backward deep BSDE, and pathwise sensitivity computation.