2 papers
q-fin.RM2026
Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
Nikeethan Selvaratnam, Dorinel Bastide, Clément Fernandes +1
Predicting future operational risk losses gives rise to a significant challenge due to the heterogeneous and time-dependent structures present in real-world data. Furthermore, stre…
q-fin.RM2022
Derivatives Risks as Costs in a One-Period Network Model
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau +1
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 poss…