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q-fin.CP2023
CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning
Roberto Daluiso, Marco Pinciroli, Michele Trapletti +1
This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives. Sensitivities-based hedging of such liability…
q-fin.TR2023
Reinforcement Learning for Credit Index Option Hedging
Francesco Mandelli, Marco Pinciroli, Michele Trapletti +1
In this paper, we focus on finding the optimal hedging strategy of a credit index option using reinforcement learning. We take a practical approach, where the focus is on realism i…