---
title: Multi-Layer Deep xVA Credit Models
url: https://www.ml-quant.com/papers/ssrn/5147413/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5147413
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5147413
featured: 2025-03-05
citations: unknown
topic: Risk, Credit & Banking
---


# Multi-Layer Deep xVA Credit Models

The authors suggest a structural default model for portfolio-wide valuation adjustments, using a deep BSDE approach to handle each layer sequentially, making the computation manageable.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5147413
- Identifier: SSRN 5147413
- Released: 2025-02-25
- First featured: Quant Letter No. 87 (2025-03-05): https://www.ml-quant.com/issues/2025-03-05/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking

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