1 citations · 1 across the 3 of their papers we have counts for
4 papers
Comparison of Tax and Cap-and-Trade Carbon Pricing Schemes
Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese
Carbon pricing has become a central pillar of modern climate policy, with carbon taxes and emissions trading systems (ETS) serving as the two dominant approaches. Although economic…
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…
Anomaly Detection on Financial Time Series by Principal Component Analysis and Neural Networks
Stéphane Crépey, Lehdili Noureddine, Nisrine Madhar +1
A major concern when dealing with financial time series involving a wide variety ofmarket risk factors is the presence of anomalies. These induce a miscalibration of the models use…
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…