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How XVA quants learned to stop worrying and trust the machine –

“Last year, Scotiabank began using a deep neural network developed by Riskfuel, a fintech start-up, to approximate the outputs of the Monte Carlo models it uses for derivatives pricing. The neural network was trained within a day using the vast amounts of computing power available on Microsoft’s cloud platform. The bank credits the new system with improving both the speed and accuracy of its XVA calculations.”