Stéphane Crépey

Université d'Évry - Equipe d'Analyse et Probabilites

Professor

Boulevard des Coquibus

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 17,682

SSRN RANKINGS

Top 17,682

in Total Papers Downloads

3,555

SSRN CITATIONS
Rank 12,840

SSRN RANKINGS

Top 12,840

in Total Papers Citations

22

CROSSREF CITATIONS

72

Scholarly Papers (17)

1.

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 928 (31,335)
Citation 3

Abstract:

Loading...

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

2.

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 794 (38,913)

Abstract:

Loading...

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

3.

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 397 (93,039)
Citation 8

Abstract:

Loading...

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

4.

Reverse Stress Testing

Number of pages: 22 Posted: 24 Mar 2020 Last Revised: 20 Sep 2021
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
Global Valuation, Université d'Évry - Equipe d'Analyse et Probabilites and JP Morgan
Downloads 228 (168,048)

Abstract:

Loading...

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

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 213 (178,479)

Abstract:

Loading...

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 192 (196,333)
Citation 4

Abstract:

Loading...

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 189 (199,150)
Citation 1

Abstract:

Loading...

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 172 (216,211)
Citation 9

Abstract:

Loading...

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 156 (234,828)
Citation 5

Abstract:

Loading...

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 126 (277,814)

Abstract:

Loading...

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 99 (328,595)
Citation 2

Abstract:

Loading...

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 60 (437,418)
Citation 1

Abstract:

Loading...

Gaussian Processes, Kriging, OTC Derivatives, CVA

13.

Defaultable Options in a Markovian Intensity Model of Credit Risk

Mathematical Finance, Vol. 18, Issue 4, pp. 493-518, October 2008
Number of pages: 26 Posted: 19 Sep 2008
Illinois Institute of Technology, Université d'Évry - Equipe d'Analyse et Probabilites, Université d'Évry - Departement de Mathematiques and Politechnika Warszawska
Downloads 1 (787,963)
Citation 4
  • Add to Cart

Abstract:

Loading...

14.

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 (805,018)
Citation 1
  • Add to Cart

Abstract:

Loading...

data compression; data completion; outliers; neural networks; autoencoders; equity derivative Black–Scholes implied volatilities; swaption implied normal volatilities; repurchase agreement (repo) rates.

15.

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 (805,018)
  • Add to Cart

Abstract:

Loading...

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

16.

Bilateral Counterparty Risk Under Funding Constraints — Part I: Pricing

Mathematical Finance, Vol. 25, Issue 1, pp. 1-22, 2015
Number of pages: 22 Posted: 17 Jan 2015
Stéphane Crépey
Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 0 (805,018)
Citation 3
  • Add to Cart

Abstract:

Loading...

counterparty risk, funding costs, nonlinear pricing and hedging, arbitrage, backward stochastic differential equation

17.

Bilateral Counterparty Risk Under Funding Constraints — Part II: CVA

Mathematical Finance, Vol. 25, Issue 1, pp. 23-50, 2015
Number of pages: 28 Posted: 17 Jan 2015
Stéphane Crépey
Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 0 (805,018)
Citation 6
  • Add to Cart

Abstract:

Loading...

counterparty risk, funding costs, credit valuation adjustment, backward stochastic differential equation