Stéphane Crépey

Université d'Évry - Equipe d'Analyse et Probabilites

Professor

Boulevard des Coquibus

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

9

DOWNLOADS

706

SSRN RANKINGS

Top 30,691

in Total Papers Citations

7

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Scholarly Papers (9)

1.

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 167 (175,380)

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

2.

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 160 (181,845)

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

3.

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 150 (191,995)

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

4.

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 116 (234,798)

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

5.

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 93 (273,035)

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

6.

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 19 (517,662)

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Gaussian Processes, Kriging, OTC Derivatives, CVA

7.

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 (637,860)
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8.

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

9.

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 (655,960)
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counterparty risk, funding costs, credit valuation adjustment, backward stochastic differential equation