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q-fin.ST2022
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…
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…