Publication about AAD for XVA

Dear readers,

I’m currently working on a publication, partnering with the consulting company Capteo. The topic is AAD (Adjoint Algorithmic Differenciation) for XVA, covering its definition, use cases, and pros and cons. AAD is an approach to improving the perfomance of derivatives calculations, such as the computation of XVA sensitivities. This is particularly sensitive in the context of FRTB CVA where the Standardised Approach involves calculating hundreds of sensitivities daily.

Please let me know if you want to see a preview of the publication, I would be happy to hear your thoughts about it!