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Derivatives Risks as Costs in a One-Period Network Model

Author

Listed:
  • Dorinel Bastide

    (UEVE, LaMME)

  • St'ephane Cr'epey

    (LPSM)

  • Samuel Drapeau

    (SAIF)

  • Mekonnen Tadese

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.

Suggested Citation

  • Dorinel Bastide & St'ephane Cr'epey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Papers 2202.03248, arXiv.org, revised Feb 2022.
    • Handle: RePEc:arx:papers:2202.03248
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    File URL: http://arxiv.org/pdf/2202.03248
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    References listed on IDEAS

    as
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    3. Umar Faruqui & Wenqian Huang & Előd Takáts, 2018. "Clearing risks in OTC derivatives markets: the CCP-bank nexus," BIS Quarterly Review, Bank for International Settlements, December.
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    7. Bora Durdu & Rochelle M. Edge & Daniel Schwindt, 2017. "Measuring the Severity of Stress-Test Scenarios," FEDS Notes 2017-05-05, Board of Governors of the Federal Reserve System (U.S.).
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