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Derivatives Risks as Costs in a One-Period Network Model

Dorinel Bastide, St\'ephane Cr\'epey, Samuel Drapeau and Mekonnen Tadese
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Dorinel Bastide: UEVE, LaMME
St\'ephane Cr\'epey: LPSM
Samuel Drapeau: SAIF

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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, Revised 2022-02
New Economics Papers: this item is included in nep-rmg
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Handle: RePEc:arx:papers:2202.03248