Stéphane Crépey

Université d'Évry - Equipe d'Analyse et Probabilites

Professor

Boulevard des Coquibus

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 19,470

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Top 19,470

in Total Papers Downloads

4,736

SSRN CITATIONS
Rank 25,688

SSRN RANKINGS

Top 25,688

in Total Papers Citations

19

CROSSREF CITATIONS

25

Scholarly Papers (14)

1.

Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis

Number of pages: 31 Posted: 07 Nov 2015
Vivien Brunel, Stéphane Crépey and Monique Jeanblanc
Société Générale, Université d'Évry - Equipe d'Analyse et Probabilites and Université d'Évry - Departement de Mathematiques
Downloads 1,076 (37,308)

Abstract:

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Expected Credit Loss (ECL), IFRS 9, Credit Value Adjustment (CVA), counterparty risk

2.

Capital and Funding

Number of pages: 14 Posted: 26 Apr 2015 Last Revised: 19 Nov 2015
Claudio Albanese, Simone Caenazzo and Stéphane Crépey
Global Valuation, Global Valuation Ltd and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 1,013 (40,622)
Citation 5

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KVA, FVA, OTC derivatives, CVA, counterparty credit risk

3.

Reverse Stress Testing, Bottom Up

https://www.tandfonline.com/doi/full/10.1080/14697688.2023.2187315
Number of pages: 14 Posted: 24 Mar 2020 Last Revised: 19 Apr 2023
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
Global Valuation, Université d'Évry - Equipe d'Analyse et Probabilites and JP Morgan
Downloads 501 (102,182)

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Model Validation, Stress Testing, Reverse Stress Testing, Capital Models, Risk Margins, Trading Limits, Cost of Capital, KVA, Model Risk, Short Rate Models, PFE

4.

Capital Valuation Adjustment and Funding Valuation Adjustment

Number of pages: 35 Posted: 12 Mar 2016
Claudio Albanese, Simone Caenazzo and Stéphane Crépey
Global Valuation, Global Valuation Ltd and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 478 (108,170)
Citation 8

Abstract:

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CVA, FVA, KVA, MVA, valuation adjustments, cost of capital, risk margin, collateral, OTC derivatives

5.

A Darwinian Theory of Model Risk

Number of pages: 14 Posted: 24 Mar 2020 Last Revised: 27 May 2021
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
Global Valuation, Université d'Évry - Equipe d'Analyse et Probabilites and JP Morgan
Downloads 426 (123,971)

Abstract:

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Model Risk, Structured Products, Short Rate Models

6.

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Number of pages: 24 Posted: 15 Oct 2012 Last Revised: 07 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 241 (227,320)
Citation 4

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Portfolio Credit Risk, Markov Copula Model, Common Shocks, Stochastic Spreads, Random Recoveries

7.

The Whys of the LOIS: Credit Risk and Refinancing Rate Volatility

Number of pages: 10 Posted: 28 Jul 2012 Last Revised: 20 Aug 2012
Raphael Douady and Stéphane Crépey
CES Univ. Paris 1 and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 214 (254,505)
Citation 1

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LIBOR, OIS, LOIS, Multiple-Curve, Credit, Liquidity, Interest Rate Spread, Equilibrium, Fixed-income Moldeling, Funding Cost, Treasury Management, CVA

8.

A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I: Markov Copula Perspective

Number of pages: 22 Posted: 18 May 2011 Last Revised: 07 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 203 (267,161)
Citation 9

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Portfolio Credit Risk, Credit Derivatives, Markov Copula Model, Common Shocks, Dynamic Hedging

9.

Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

Number of pages: 18 Posted: 01 Apr 2013
Stéphane Crépey and Abdallah Rahal
Université d'Évry - Equipe d'Analyse et Probabilites and Université d'Évry
Downloads 184 (291,909)
Citation 6

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Continuous-time Markov chains, Monte Carlo simulation, regression, counterparty risk, CVA, credit derivatives, CDO

10.

A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Number of pages: 20 Posted: 06 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 151 (345,849)
Citation 3

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Portfolio credit risk, Basket credit derivatives, Markov copula model, Common shocks, Pricing, Calibration, Min-variance hedging

11.

A Levy HJM Multiple-Curve Model with Application to CVA Computation

Number of pages: 29 Posted: 02 Oct 2013
Stéphane Crépey, Zorana Grbac, Nathalie Ngor and David Skovmand
Université d'Évry - Equipe d'Analyse et Probabilites, Université Paris VII Denis Diderot, Université d'Évry and Aarhus University - School of Business and Social Sciences
Downloads 129 (391,564)
Citation 2

Abstract:

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interest rate derivative, multiple-curve term structure model, Levy process, credit valuation adjustment (CVA), funding

12.

Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations

Number of pages: 31 Posted: 11 Feb 2019
Stéphane Crépey and Matthew Francis Dixon
Université d'Évry - Equipe d'Analyse et Probabilites and Illinois Institute of Technology
Downloads 120 (413,457)
Citation 1

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Gaussian Processes, Kriging, OTC Derivatives, CVA

13.

Nowcasting Networks

Journal of Computational Finance, Vol. 24, No. 3
Number of pages: 40 Posted: 09 Mar 2021
Marc Chataigner, Stéphane Crépey and Jiang Pu
University of Évry Val d'Essonne, Université d'Évry - Equipe d'Analyse et Probabilites and Institut Europlace de Finance
Downloads 0 (1,095,600)
Citation 1
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data compression; data completion; outliers; neural networks; autoencoders; equity derivative Black–Scholes implied volatilities; swaption implied normal volatilities; repurchase agreement (repo) rates.

14.

Gaussian Process Regression for Derivative Portfolio Modeling and Application to Credit Valuation Adjustment Computations

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 36 Posted: 19 Jan 2021
Stéphane Crépey and Matthew Francis Dixon
Université d'Évry - Equipe d'Analyse et Probabilites and Illinois Institute of Technology
Downloads 0 (1,095,600)
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Abstract:

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Gaussian processes regression, surrogate modeling, mark-to-market cube, derivatives, credit valuation adjustment, uncertainty quantification.