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