89 citations · 91 across the 11 of their papers we have counts for
11 papers
Sensitivity Analysis of emissions Markets: A Discrete-Time Radner Equilibrium Approach
Stéphane Crépey, Mekonnen Tadese, Gauthier Vermandel
Emissions markets play a vital role in emissions reduction by incentivizing firms to minimize costs. However, their effectiveness heavily depends on the decisions of policymakers,…
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo. T…
CVA Sensitivities, Hedging and Risk
Stéphane Crépey, Botao Li, Hoang Nguyen +1
We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on s…
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…
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…
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a ran…