89 citations · 91 across the 11 of their papers we have counts for
5 papers · 1 filter
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…
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…
Resolving a Clearing Member's Default, A Radner Equilibrium Approach
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau +1
For vanilla derivatives that constitute the bulk of investment banks' hedging portfolios, central clearing through central counterparties (CCPs) has become hegemonic. A key mandate…