6 citations · 6 across the 1 of their papers we have counts for
2 papers
q-fin.RM2015
Multivariate Shortfall Risk Allocation and Systemic Risk
Yannick Armenti, Stephane Crepey, Samuel Drapeau +1
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financia…
q-fin.RM2015★ 6 cited
Central Clearing Valuation Adjustment
Yannick Armenti, Stéphane Crépey
This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. We introduce a d…