42 citations · 108 across the 17 of their papers we have counts for
6 papers · 1 filter
Derivatives Risks as Costs in a One-Period Network Model
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau +1
We present a one-period XVA model encompassing bilateral and centrally cleared trading in a unified framework with explicit formulas for most quantities at hand. We illustrate poss…
Dual Representation of Expectile based Expected Shortfall and Its Properties
Samuel Drapeau, Mekonnen Tadese
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected…
Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall
Samuel Drapeau, Mekonnen Tadese
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile a…
Computational aspects of robust optimized certainty equivalents and option pricing
Daniel Bartl, Samuel Drapeau, Ludovic Tangpi
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable.…
Multivariate Shortfall Risk Allocation and Systemic Risk
Yannick Armenti, Stephane Crepey, Samuel Drapeau +1
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financia…
A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents
Samuel Drapeau, Michael Kupper, Antonis Papapantoleon
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numer…