Derivatives Risks as Costs in a One-Period Network Model
Samuel Drapeau and
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Dorinel Bastide: UEVE, LaMME
St\'ephane Cr\'epey: LPSM
Samuel Drapeau: SAIF
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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, Revised 2022-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.03248
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