Stéphane Crépey

Available identifiers

zbMath Open crepey.stephaneMaRDI QIDQ331357

List of research outcomes

Publication	Date of Publication	Type
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall	2023-11-26	Paper
Pathwise CVA regressions with oversimulated defaults	2023-09-28	Paper
Derivatives risks as costs in a one-period network model	2023-09-27	Paper
Quantitative reverse stress testing, bottom up	2023-06-20	Paper
Hedging Valuation Adjustment for Callable Claims	2023-04-04	Paper
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation	2023-03-24	Paper
Positive XVAs	2022-10-19	Paper
Hedging Valuation Adjustment and Model Risk	2022-05-24	Paper
XVA analysis from the balance sheet	2021-12-01	Paper
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints	2021-11-05	Paper
Rational multi-curve models with counterparty-risk valuation adjustments	2021-07-16	Paper
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes	2020-11-12	Paper
Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion	2020-08-31	Paper
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments	2020-05-29	Paper
XVA metrics for CCP optimization	2020-04-22	Paper
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios	2020-02-17	Paper
Stochastic approximation schemes for economic capital and risk margin computations	2019-07-11	Paper
Delta-hedging vega risk?	2019-01-15	Paper
Dynamic Hedging of Counterparty Exposure	2018-12-13	Paper
The sustainable Black-Scholes equations	2018-11-19	Paper
Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives	2018-10-22	Paper
XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS	2018-10-10	Paper
A Lévy HJM multiple-curve model with application to CVA computation	2018-09-19	Paper
Multivariate Shortfall Risk Allocation and Systemic Risk	2018-04-16	Paper
Invariance Properties in the Dynamic Gaussian Copula Model	2018-03-07	Paper
Invariance times	2018-02-14	Paper
Central Clearing Valuation Adjustment	2017-06-02	Paper
Counterparty risk and funding: immersion and beyond	2016-10-27	Paper
Reduced-Form Modeling of Counterparty Risk on Credit Derivatives	2015-10-21	Paper
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective	2015-06-19	Paper
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues	2015-06-19	Paper
BSDEs of counterparty risk	2015-05-27	Paper
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING	2015-02-20	Paper
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA	2015-02-20	Paper
Doubly reflected BSDEs with call protection and their approximation	2015-02-17	Paper
https://portal.mardi4nfdi.de/entity/Q5169724	2014-07-11	Paper
Dynamic hedging of portfolio credit risk in a Markov copula model	2014-06-30	Paper
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries	2014-06-11	Paper
Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches	2014-06-11	Paper
COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA	2013-06-24	Paper
INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA	2013-06-24	Paper
Financial modeling. A backward stochastic differential equations perspective	2013-04-08	Paper
A multiple-curve HJM model of interbank risk	2013-02-26	Paper
Convertible Bonds in a Defaultable Diffusion Model	2012-09-07	Paper
VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL	2012-04-24	Paper
DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK	2011-06-09	Paper
Up and down credit risk	2010-12-20	Paper
About the Pricing Equations in Finance	2010-12-14	Paper
PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS	2010-08-11	Paper
Defaultable game options in a hazard process model	2009-11-23	Paper
Arbitrage pricing of defaultable game options with applications to convertible bonds	2009-02-23	Paper
Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison	2008-11-27	Paper
Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization	2003-09-30	Paper
https://portal.mardi4nfdi.de/entity/Q4530576	2003-01-30	Paper
Calibration of the local volatility in a trinomial tree using Tikhonov regularization	2003-01-01	Paper

Research outcomes over time

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