output
20092025
most citedIdentities involving values of Bernstein, q-Bernoulli and q-Euler polynomials

103 citations

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6 papers · 1 filter

q-fin.RM2024

An Explicit Scheme for Pathwise XVA Computations

Lokman Abbas-Turki, Stéphane Crépey, Botao Li +1

Motivated by the equations of cross valuation adjustments (XVAs) in the realistic case where capital is deemed fungible as a source of funding for variation margin, we introduce a…

q-fin.RM2024

Provisions and Economic Capital for Credit Losses

Dorinel Bastide, Stéphane Crépey

Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-marke…

q-fin.RM2023

Resolving a Clearing Member's Default, A Radner Equilibrium Approach

Dorinel Bastide, Stéphane Crépey, Samuel Drapeau +1

For vanilla derivatives that constitute the bulk of investment banks' hedging portfolios, central clearing through central counterparties (CCPs) has become hegemonic. A key mandate…

q-fin.RM2023★ 1 cited

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims

Cyril Bénézet, Stéphane Crépey, Dounia Essaket

The dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data throug…

q-fin.RM2015

Dynamics of multivariate default system in random environment

Nicole El Karoui, Monique Jeanblanc, Ying Jiao

We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view…

q-fin.RM2015★ 6 cited

Central Clearing Valuation Adjustment

Yannick Armenti, Stéphane Crépey

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 d…