Derivatives' Risks in a Network Model
The paper introduces a one-period XVA model for bilateral and centrally cleared trading, illustrating its potential for stress testing a financial network or optimizing a defaulted clearing member's portfolio.
Featured in No. 30 on 20 Dec 2023 · on release day
- Released
- 20 Dec 2023
- First featured
- No. 30 · 20 Dec 2023
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- Identifier
- RePEc:wsi:wschap:9789811280306_0008
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