Accelerated Computations of Sensitivities for xVA
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense.
https://wsc.project.cwi.nl/abcxva/overview-research-programme/publications/esr5-felix-wolf/felix-wolf.pdf/view
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Accelerated Computations of Sensitivities for xVA
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense.