67 citations · 101 across the 16 of their papers we have counts for
4 papers · 1 filter
When defaults cannot be hedged: xVA calculations via local risk-minimization
Francesca Biagini, Alessandro Gnoatto, Katharina Oberpriller
We consider the pricing and hedging of counterparty credit risk and funding when there is no possibility to hedge the jump to default of either the bank or the counterparty. This r…
Deep xVA solver -- A neural network based counterparty credit risk management framework
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes tradit…
Affine multiple yield curve models
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, ca…
A general HJM framework for multiple yield curve modeling
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approac…