3 papers
econ.GN2025
Comparison of Tax and Cap-and-Trade Carbon Pricing Schemes
Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese
Carbon pricing has become a central pillar of modern climate policy, with carbon taxes and emissions trading systems (ETS) serving as the two dominant approaches. Although economic…
q-fin.CP2024
CVA Sensitivities, Hedging and Risk
Stéphane Crépey, Botao Li, Hoang Nguyen +1
We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on s…
q-fin.RM2024
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…