Derivatives risks as costs in a one-period network model

DOI10.3934/fmf.2023014zbMath1521.91356arXiv2202.03248OpenAlexW4226190885MaRDI QIDQ6078119

Mekonnen Tadese, Dorinel Bastide, Stéphane Crépey, Samuel Drapeau

Publication date: 27 September 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.03248

zbMATH Keywords

financial networkrisk managementuncertainty quantificationcounterparty credit riskeconomic capitalXVAreverse stress testcentral clearing counterparties

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Unnamed Item
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• Positive XVAs
• XVA metrics for CCP optimization
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• Statistical Intervals
• XVA analysis from the balance sheet
• Systemic Risk in Networks with a Central Node
• Wealth Transfers, Indifference Pricing, and XVA Compression Schemes
• Pathwise CVA regressions with oversimulated defaults
• Quantitative reverse stress testing, bottom up

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