XVA metrics for CCP optimization

• Published in: Statistics & risk modeling Vol. 37; no. 1; pp. 25 - 53
• Main Authors: Albanese, Claudio, Armenti, Yannick, Crépey, Stéphane
• Format: Journal Article
• Language: English
• Published: De Gruyter Oldenbourg 01.03.2020; De Gruyter
• Subjects: 60G44; 91B25; 91B26; 91B30; 91B70; 91B74; 91G20; 91G40; 91G60; 91G80; Central counterparty (CCP); cost of capital (KVA); cost of funding initial margin (MVA); default fund; initial margin; Quantitative Finance; cost of funding initial margin (MVA); initial margin; cost of capital (KVA); Central counterparty (CCP); default fund; Central counterparty (CCP) initial margin default fund cost of funding initial margin (MVA) cost of capital (KVA) Mathematics Subject Classification: 60G44 91B25 91B26 91B30 91B70 91B74 91G20 91G40 91G60 91G80 JEL Classification: G13 G14 G28 G33 M41

Based on an XVA analysis of centrally cleared derivative portfolios, we consider two capital and funding issues pertaining to the efficiency of the design of central counterparties (CCPs). First, we consider an organization of a clearing framework, whereby a CCP would also play the role of a central...