89 citations · 91 across the 11 of their papers we have counts for
3 papers · 1 filter
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…
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
Stéphane Crépey, Noufel Frikha, Azar Louzi
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be com…