Derivatives Risks as Costs in a One-Period Network Model

Dorinel Bastide (), Stéphane Crépey (), Samuel Drapeau and Mekonnen Tadese ()
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Stéphane Crépey: UFR Mathématiques UPCité - UFR Mathématiques [Sciences] - Université Paris Cité - UPCité - Université Paris Cité

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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
New Economics Papers: this item is included in nep-net and nep-rmg
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Published in Frontiers of Mathematical Finance, inPress

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03910144

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