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

By July 6, 2021September 21st, 2021No Comments

“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.”

Riskfuel

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