89 citations · 91 across the 11 of their papers we have counts for
3 papers · 2 filters
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…