CVA Sensitivities, Hedging and Risk
CVA Sensitivities, Hedging and Risk ArXiv ID: 2407.18583 “View on arXiv” Authors: Unknown 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. ...