19 citations · 30 across the 8 of their papers we have counts for
5 papers · 1 filter
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…
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…