Resolving a clearing member's default a Radner equilibrium approach

DOI10.1007/S11579-024-00380-0MaRDI QIDQ7005041zbMATH OpenFDO

Authors Dorinel Bastide, Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese

Publication date 2 April 2025

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11579-024-00380-0

zbMATH Keywords

auctioningcentral counterparties (CCPs)credit riskdefault resolutionentropic risk measureexchangesexpected shortfallfinancial marketshedgingliquidationmarket riskprice impactRadner equilibriumvaluation adjustments (XVA)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Statistical methods; risk measures (91G70)

Cites work

• A simple proof of the characteristic function of Student’s t-distribution
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Applied multivariate statistical analysis.
• Convex Analysis
• Derivatives risks as costs in a one-period network model
• Equilibrium pricing in incomplete markets under translation invariant preferences
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• scientific article; zbMATH DE number 3827533 (Why is no real title available?)
• scientific article; zbMATH DE number 1154009 (Why is no real title available?)
• Quantitative risk management. Concepts, techniques and tools
• Tail Conditional Expectations for Elliptical Distributions
• Variational Analysis
• XVA metrics for CCP optimization

This page was built for publication: Resolving a clearing member's default a Radner equilibrium approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7005041)