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Provisions and Economic Capital for Credit Losses
Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w. r. t.
Resolving a Clearing Member's Default, A Radner Equilibrium Approach
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
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.
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