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Derivatives Risks as Costs in a One-Period Network Model

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Listed:
  • Dorinel Bastide

    (UEVE - Université d'Évry-Val-d'Essonne, Université Paris-Saclay, LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, BNP-Paribas, Stress Testing Methodologies & Models - BNP-Paribas)

  • Stéphane Crépey

    (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité, UFR 929 - Sorbonne Université - UFR de Mathématiques - SU - Sorbonne Université)

  • Samuel Drapeau

    (Shanghai University, Shangaï Jiao Tong University [Shangaï], SAIF - Shanghai Advanced Institute of Finance)

  • Mekonnen Tadese

    (Woldia University)

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," Working Papers hal-03554577, HAL.
    • Handle: RePEc:hal:wpaper:hal-03554577
    Note: View the original document on HAL open archive server: https://hal.science/hal-03554577v2
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    References listed on IDEAS

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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.).
    Full references (including those not matched with items on IDEAS)

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