19 citations · 30 across the 8 of their papers we have counts for
11 papers
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
Marc Chataigner, Areski Cousin, Stéphane Crépey +2
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility…
Pathwise CVA Regressions With Oversimulated Defaults
Lokman Abbas-Turki, Stéphane Crépey, Bouazza Saadeddine
We consider the computation by simulation and neural net regression of conditional expectations, or more general elicitable statistics, of functionals of processes . Here…
Nowcasting Networks
Marc Chataigner, Stephane Crepey, Jiang Pu
We devise a neural network based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense encompassing completion of gridded values, interp…
XVA Analysis From the Balance Sheet
Claudio Albanese, Stephane Crepey, Rodney Hoskinson +1
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis. We root a cost-of-capital XVA strategy in a…
Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations
Stéphane Crépey, Matthew Dixon
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk…
Invariance properties in the dynamic gaussian copula model *
Stéphane Crépey, Shiqi Song
We prove that the default times (or any of their minima) in the dynamic Gaussian copula model of Cr{é}pey, Jeanblanc, and Wu (2013) are invariance times in the sense of Cr{é}pey an…
Capital Valuation Adjustment and Funding Valuation Adjustment
Claudio Albanese, Simone Caenazzo, Stéphane Crépey
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a…
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…
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…
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen +1
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and…
Counterparty Risk and Funding: The Four Wings of the TVA
Stéphane Crépey, Rémi Gerboud, Zorana Grbac +1
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustm…