Derivatives Risks as Costs in a One-Period Network Model

Dorinel Bastide (), Stéphane Crépey (), Samuel Drapeau and Mekonnen Tadese ()
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Dorinel Bastide: UEVE - Université d'Évry-Val-d'Essonne, Université Paris-Saclay, LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, BNP-Paribas, Stress Testing Methodologies & Models - BNP-Paribas
Stéphane Crépey: LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité, UFR 929 - Sorbonne Université - UFR de Mathématiques - SU - Sorbonne Université
Samuel Drapeau: Shanghai University, Shangaï Jiao Tong University [Shangaï], SAIF - Shanghai Advanced Institute of Finance
Mekonnen Tadese: Woldia University

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Abstract: We present a one-period XVA model encompassing bilateral and centrally cleared trading in a unified framework with explicit formulas for most quantities at hand. We illustrate possible uses of this framework for running stress test exercises on a financial network from a clearing member's perspective or for optimizing the porting of the portfolio of a defaulted clearing member.

Date: 2022-02-11
New Economics Papers: this item is included in nep-cwa, nep-net and nep-rmg
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