Derivatives Risks as Costs in a One-Period Network Model
- Authors
- Dorinel Bastide, Stéphane Crépey, Samuel Drapeau and Mekonnen Tadese
- Date
- 2022
- Journal
- Frontiers of Mathematical Finance
- 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.
- Keywords
- Derivative risk, XVA, Network
- Download
- pdf (open science)