{"id":"https://openalex.org/W3023814359","doi":"https://doi.org/10.1137/21m1457606","title":"Deep xVA Solver: A Neural Network\u2013Based Counterparty Credit Risk Management Framework","display_name":"Deep xVA Solver: A Neural Network\u2013Based Counterparty Credit Risk Management Framework","publication_year":2023,"publication_date":"2023-03-29","ids":{"openalex":"https://openalex.org/W3023814359","doi":"https://doi.org/10.1137/21m1457606","mag":"3023814359"},"language":"en","primary_location":{"id":"doi:10.1137/21m1457606","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1457606","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5009162333","display_name":"Alessandro Gnoatto","orcid":"https://orcid.org/0000-0002-2119-7792"},"institutions":[{"id":"https://openalex.org/I119439378","display_name":"University of Verona","ror":"https://ror.org/039bp8j42","country_code":"IT","type":"education","lineage":["https://openalex.org/I119439378"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Alessandro Gnoatto","raw_affiliation_strings":["Department of Economics, University of Verona, 37129 Verona, Italy"],"raw_orcid":"https://orcid.org/0000-0002-2119-7792","affiliations":[{"raw_affiliation_string":"Department of Economics, University of Verona, 37129 Verona, Italy","institution_ids":["https://openalex.org/I119439378"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5036746144","display_name":"Athena Picarelli","orcid":"https://orcid.org/0000-0003-1103-5324"},"institutions":[{"id":"https://openalex.org/I119439378","display_name":"University of Verona","ror":"https://ror.org/039bp8j42","country_code":"IT","type":"education","lineage":["https://openalex.org/I119439378"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Athena Picarelli","raw_affiliation_strings":["Department of Economics, University of Verona, 37129 Verona, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Verona, 37129 Verona, Italy","institution_ids":["https://openalex.org/I119439378"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013285444","display_name":"Christoph Reisinger","orcid":"https://orcid.org/0000-0003-4027-5298"},"institutions":[{"id":"https://openalex.org/I4210120676","display_name":"Mathematical Institute of the Slovak Academy of Sciences","ror":"https://ror.org/02fhy7464","country_code":"SK","type":"facility","lineage":["https://openalex.org/I207624831","https://openalex.org/I4210120676"]}],"countries":["SK"],"is_corresponding":false,"raw_author_name":"Christoph Reisinger","raw_affiliation_strings":["Oxford University, Mathematical Institute, ROQ, Oxford OX2 6GG, UK"],"raw_orcid":"https://orcid.org/0000-0003-4027-5298","affiliations":[{"raw_affiliation_string":"Oxford University, Mathematical Institute, ROQ, Oxford OX2 6GG, UK","institution_ids":["https://openalex.org/I4210120676"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.9884,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":{"value":0.96608598,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"14","issue":"1","first_page":"314","last_page":"352"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.995199978351593,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/solver","display_name":"Solver","score":0.717595100402832},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6836016178131104},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.6590529680252075},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.5606706142425537},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.5582315325737},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.557999849319458},{"id":"https://openalex.org/keywords/counterparty","display_name":"Counterparty","score":0.5223751664161682},{"id":"https://openalex.org/keywords/collateral","display_name":"Collateral","score":0.44010359048843384},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4385876953601837},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.4325270354747772},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.41685622930526733},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3536683917045593},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3525809347629547},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.2911979556083679},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.21179038286209106},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.19977611303329468},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.19895973801612854},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16543647646903992},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12289175391197205}],"concepts":[{"id":"https://openalex.org/C2778770139","wikidata":"https://www.wikidata.org/wiki/Q1966904","display_name":"Solver","level":2,"score":0.717595100402832},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6836016178131104},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6590529680252075},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.5606706142425537},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.5582315325737},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.557999849319458},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.5223751664161682},{"id":"https://openalex.org/C2777910564","wikidata":"https://www.wikidata.org/wiki/Q694563","display_name":"Collateral","level":2,"score":0.44010359048843384},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4385876953601837},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.4325270354747772},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.41685622930526733},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3536683917045593},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3525809347629547},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.2911979556083679},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.21179038286209106},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.19977611303329468},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19895973801612854},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16543647646903992},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12289175391197205},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/21m1457606","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1457606","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.5699999928474426}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":69,"referenced_works":["https://openalex.org/W581123446","https://openalex.org/W788396964","https://openalex.org/W1502017070","https://openalex.org/W1533819021","https://openalex.org/W1587730626","https://openalex.org/W1762134087","https://openalex.org/W1886460142","https://openalex.org/W1988115241","https://openalex.org/W2000808217","https://openalex.org/W2039236761","https://openalex.org/W2095445700","https://openalex.org/W2103496339","https://openalex.org/W2126311658","https://openalex.org/W2127034316","https://openalex.org/W2133608028","https://openalex.org/W2135859161","https://openalex.org/W2149540235","https://openalex.org/W2150812635","https://openalex.org/W2157883119","https://openalex.org/W2167698785","https://openalex.org/W2207023490","https://openalex.org/W2289342452","https://openalex.org/W2492132491","https://openalex.org/W2517198867","https://openalex.org/W2534143637","https://openalex.org/W2564965877","https://openalex.org/W2581605984","https://openalex.org/W2663035201","https://openalex.org/W2729788879","https://openalex.org/W2735718932","https://openalex.org/W2769936938","https://openalex.org/W2786220904","https://openalex.org/W2789040392","https://openalex.org/W2803629276","https://openalex.org/W2804354687","https://openalex.org/W2887297564","https://openalex.org/W2895907884","https://openalex.org/W2898745333","https://openalex.org/W2899507754","https://openalex.org/W2900929853","https://openalex.org/W2913374098","https://openalex.org/W2928893654","https://openalex.org/W2949117887","https://openalex.org/W2962886462","https://openalex.org/W2962991456","https://openalex.org/W2993551995","https://openalex.org/W3009461225","https://openalex.org/W3031715235","https://openalex.org/W3043098931","https://openalex.org/W3082610714","https://openalex.org/W3104441224","https://openalex.org/W3105091426","https://openalex.org/W3105599219","https://openalex.org/W3111993716","https://openalex.org/W3121382985","https://openalex.org/W3123338165","https://openalex.org/W3124191254","https://openalex.org/W3124555103","https://openalex.org/W3124655310","https://openalex.org/W3124974597","https://openalex.org/W3125471937","https://openalex.org/W3125577784","https://openalex.org/W3125806108","https://openalex.org/W3180808552","https://openalex.org/W3194703332","https://openalex.org/W3194727465","https://openalex.org/W4236109675","https://openalex.org/W4240828289","https://openalex.org/W4248757863"],"related_works":["https://openalex.org/W4235308554","https://openalex.org/W2183061659","https://openalex.org/W4247039047","https://openalex.org/W2078541324","https://openalex.org/W2910448078","https://openalex.org/W3124162515","https://openalex.org/W3086176581","https://openalex.org/W3123291233","https://openalex.org/W2275436779","https://openalex.org/W2019076357"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3],"present":[4],"a":[5,18,34,48,52],"novel":[6],"computational":[7],"framework":[8],"for":[9,39,65,78],"portfolio-wide":[10],"risk":[11,23,76],"management":[12],"problems,":[13],"where":[14],"the":[15,40,61,84],"presence":[16],"of":[17,22,37,51,63,83],"potentially":[19],"large":[20],"number":[21],"factors":[24],"makes":[25,60],"traditional":[26],"numerical":[27],"techniques":[28],"ineffective.":[29],"The":[30],"new":[31],"method":[32],"utilizes":[33],"coupled":[35],"system":[36],"BSDEs":[38],"valuation":[41],"adjustments":[42],"(xVA)":[43],"and":[44,74,80],"solves":[45],"these":[46],"by":[47],"recursive":[49],"application":[50],"neural":[53],"network\u2013based":[54],"BSDE":[55],"solver.":[56],"This":[57],"not":[58],"only":[59],"computation":[62],"xVA":[64],"high-dimensional":[66],"problems":[67],"feasible,":[68],"but":[69],"also":[70],"produces":[71],"hedge":[72],"ratios":[73],"dynamic":[75],"measures":[77],"xVA,":[79],"allows":[81],"simulations":[82],"collateral":[85],"account.":[86]},"counts_by_year":[{"year":2025,"cited_by_count":9},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":8},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}