Pathwise CVA regressions with oversimulated defaults
Lokman A. Abbas-Turki, Stéphane Crépey, Bouazza Saadeddine
| Year of publication: |
2023
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|---|---|
| Authors: | Abbas-Turki, Lokman A. ; Crépey, Stéphane ; Saadeddine, Bouazza |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 2, p. 274-307
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| Subject: | hierarchical simulation | machine learning | neural net regression | X-valuation adjustment (XVA) | Regressionsanalyse | Regression analysis | Künstliche Intelligenz | Artificial intelligence | Neuronale Netze | Neural networks | Simulation | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12368 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014278670