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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.RM2022
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…