Efficient exposure computation by risk factor decomposition
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Cited by:
- Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''," Applied Mathematics and Computation, Elsevier, vol. 406(C).
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020.
"Deep xVA solver -- A neural network based counterparty credit risk management framework,"
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2005.02633, arXiv.org, revised Dec 2022.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
- Kumar, Manish & Kumar, Arun, 2017. "Performance assessment and degradation analysis of solar photovoltaic technologies: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 78(C), pages 554-587.
- Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 391(C).
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CSE-2016-08-07 (Economics of Strategic Management)
- NEP-RMG-2016-08-07 (Risk Management)
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