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Derivatives Risks as Costs in a One-Period Network Model

Author

Listed:
  • Dorinel Bastide
  • Stéphane Crépey

    (UFR Mathématiques UPCité - UFR Mathématiques [Sciences] - Université Paris Cité - UPCité - Université Paris Cité)

  • Samuel Drapeau
  • 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 & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Post-Print hal-03910144, HAL.
    • Handle: RePEc:hal:journl:hal-03910144
    Note: View the original document on HAL open archive server: https://hal.science/hal-03910144v1
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    References listed on IDEAS

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