Derivatives Risks as Costs in a One-Period Network Model

Dorinel Bastide (1, 2, 3, 4, 5) , Stéphane Crépey (6, 7) , Samuel Drapeau (8, 9, 10) , Mekonnen Tadese (11)

1 UEVE - Université d'Évry-Val-d'Essonne
2 Université Paris-Saclay
3 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry
4 BNP-Paribas
5 Stress Testing Methodologies & Models
6 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation
7 UFR 929 - Sorbonne Université - UFR de Mathématiques
8 Shanghai University
9 Shangaï Jiao Tong University [Shangaï]
10 SAIF - Shanghai Advanced Institute of Finance
11 Woldia University

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.

Domaines: Gestion des risques [q-fin.RM]

Dorinel Bastide, Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese. Derivatives Risks as Costs in a One-Period Network Model. 2022. ⟨hal-03554577v2⟩