Accelerating Credit Value Adjustment with Machine Learning
Date:
Abstract
Poster presentation on the application of machine learning algorithms to accelerate credit risk calculation in derivative contracts, focusing on Credit Value Adjustment (CVA), demonstrating significant improvements in execution times while maintaining accuracy.
Event Details
Event: Analytics Forum 2025 - Universidad de los Andes
Type: Poster
Location: Bogotá, Colombia
Date: 2025-05-09
Co-authors: Nicolás Suarez, Esteban Leiva, Ernesto Pérez