英文标题：
《Central Clearing Valuation Adjustment》
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作者：
Yannick Armenti (LaMME), St\\\'ephane Cr\\\'epey (LaMME)
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最新提交年份：
2017
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英文摘要：
  This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. We introduce a dynamic framework that incorporates the sequence of cash-flows involved in the waterfall of resources of a clearing house. The total cost of the clearance framework for a clearing member, called CCVA for central clearing valuation adjustment, is decomposed into a CVA corresponding to the cost of its losses on the default fund in case of defaults of other member, an MVA corresponding to the cost of funding its margins and a KVA corresponding to the cost of the regulatory capital and also of the capital at risk that the member implicitly provides to the CCP through its default fund contribution. In the end the structure of the XVA equations for bilateral and cleared portfolios is similar, but the input data to these equations are not the same, reflecting different financial network structures. The resulting XVA numbers differ, but, interestingly enough, they become comparable after scaling by a suitable netting ratio.
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中文摘要：
本文对集中清算交易进行了XVA（成本）分析，与过去几年针对双边交易进行的分析相平行。我们引入了一个动态框架，将清算所的资源瀑布所涉及的现金流序列结合起来。清算成员清算框架的总成本（称为中央清算估值调整的CCVA）被分解为CVA，与其他成员违约时违约基金的损失成本相对应，MVA对应于其保证金的融资成本，KVA对应于监管资本的成本，以及成员通过其违约基金出资默示提供给CCP的风险资本的成本。最后，双边和清算投资组合的XVA方程结构相似，但这些方程的输入数据不同，反映了不同的金融网络结构。由此产生的XVA数字各不相同，但有趣的是，它们在按适当的净比率缩放后变得具有可比性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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