Resolving a Clearing Member's Default, A Radner Equilibrium Approach

no code implementations • 4 Oct 2023 • Dorinel Bastide, Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese

When a clearing member defaults, the CCP can hedge and auction or liquidate its positions.

Derivatives Risks as Costs in a One-Period Network Model

no code implementations • 7 Feb 2022 • Dorinel Bastide, Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese

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.

An FBSDE approach to market impact games with stochastic parameters

no code implementations • 19 Dec 2019 • Samuel Drapeau, Peng Luo, Alexander Schied, Dewen Xiong

We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage.

Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall

no code implementations • 24 Jun 2019 • Samuel Drapeau, Mekonnen Tadese

Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk.