Article Dans Une Revue Frontiers of Mathematical Finance Année : 2023

Derivatives Risks as Costs in a One-Period Network Model

Résumé

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.

Fichier principal
Vignette du fichier
CCP-static.pdf (913.3 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence

Dates et versions

hal-03910144 , version 1 (21-12-2022)

Licence

Identifiants

Citer

Dorinel Bastide, Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese. Derivatives Risks as Costs in a One-Period Network Model. Frontiers of Mathematical Finance, 2023, 2 (3), pp.283-312. ⟨10.3934/fmf.2023014⟩. ⟨hal-03910144⟩
82 Consultations
161 Téléchargements

Altmetric

Partager

  • More