Essays about: "Viktor Sambergs"

Found 1 essay containing the words Viktor Sambergs.

  1. 1. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

    University essay from Lunds universitet/Matematisk statistik

    Author : Isabelle Frodé; Viktor Sambergs; [2022]
    Keywords : xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

    Abstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE