3 papers
q-fin.RM2026
The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
Cyril Bénézet, Stéphane Crépey, Dounia Essaket
The dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data throug…
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.PR2024
Handling model risk with XVAs
Cyril Bénézet, Stéphane Crépey
In this paper we revisit Burnett (2021) \& Burnett and Williams (2021)'s notion of hedging valuation adjustment (HVA), originally intended to deal with dynamic hedging frictions su…