Sökning: "Viktor Sambergs"
Hittade 1 uppsats innehållade orden Viktor Sambergs.
1. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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. LÄS MER
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