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Andersson, K.H. (author), Oosterlee, C.W. (author)
In this paper, we propose a neural network-based method for CVA computations of a portfolio of derivatives. In particular, we focus on portfolios consisting of a combination of derivatives, with and without true optionality, e.g., a portfolio of a mix of European- and Bermudan-type derivatives. CVA is computed, with and without netting, for...
journal article 2021