Derivatives Risks as Costs in a One-Period Network Model
Risk Management
2022-02-16 v2
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.
Cite
@article{arxiv.2202.03248,
title = {Derivatives Risks as Costs in a One-Period Network Model},
author = {Dorinel Bastide and Stéphane Crépey and Samuel Drapeau and Mekonnen Tadese},
journal= {arXiv preprint arXiv:2202.03248},
year = {2022}
}