论文标题
衍生工具在一个周期网络模型中冒着成本的风险
Derivatives Risks as Costs in a One-Period Network Model
论文作者
论文摘要
我们提出了一个一期XVA模型，其中包含双边和中央清除的交易，并在统一的框架中带有明确的公式，用于手头的大多数数量。我们说明了该框架的可能用途来从清算成员的角度上在财务网络上运行压力测试练习，或者用于优化违约清算成员的投资组合的移植。
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.
