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