89 citations · 91 across the 11 of their papers we have counts for
Showing 2023 · q-fin.RMShow all
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q-fin.RM2023★ 1 cited
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…
q-fin.RM2023
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…