XVA Calibration


Modelling valuation adjustments (collectively known as XVA) represents one of the toughest challenges in derivatives pricing and financial engineering at large, as it involves modelling net future exposure with portfolio effects, based on consistent specifications of market price dynamics under the risk neutral measure across several currencies and asset classes.

The aim of this project is to explore potentialities of machine learning techniques to define the global calibration of the XVA in «combined» dynamics of interest rates (IR) and foreign currencies (FX) in a multi-currency context.

In collaboration with