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Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10012543628

Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations

Crépey, Stéphane; Dixon, Matthew F. - In: The journal of computational finance 24 (2020) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10012421957

Deep learning for spatio‐temporal modeling : Dynamic traffic flows and high frequency trading

Dixon, Matthew F.; Polson, Nicholas G.; Sokolov, Vadim O. - In: Applied Stochastic Models in Business and Industry 35 (2018) 3, pp. 788-807

Persistent link: https://www.econbiz.de/10012272418

Bitcoin risk modeling with blockchain graphs

Akcora, Cuneyt Gurcan; Dixon, Matthew F.; Gel, Yulia R.; … - In: Economics letters 173 (2018), pp. 138-142

Persistent link: https://www.econbiz.de/10012022965

Blockchain analytics for intraday financial risk modeling

Dixon, Matthew F.; Akcora, Cuneyt Gurcan; Gel, Yulia R.; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 67-89

Persistent link: https://www.econbiz.de/10012223863

COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

CRÉPEY, STÉPHANE; GERBOUD, RÉMI; GRBAC, ZORANA; … - In: International Journal of Theoretical and Applied … 16 (2013) 02, pp. 1350006-1

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 adjustment (CVA), debt valuation adjustment (DVA), liquidity valuation adjustment (LVA) and replacement cost (RC) issues,...

Persistent link: https://www.econbiz.de/10011011271

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu - In: Review of Derivatives Research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10010867561

PREFACE

Crépey, Stéphane - In: International Journal of Theoretical and Applied … 16 (2013) 02, pp. 1302001-1

No abstract received.

Persistent link: https://www.econbiz.de/10010883209

PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS

CARMONA, RENÉ; CRÉPEY, STÉPHANE - In: International Journal of Theoretical and Applied … 13 (2010) 04, pp. 577-602

The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk. We concentrate on two of the most frequently touted methods of...

Persistent link: https://www.econbiz.de/10008465483

Counterparty risk and funding : immersion and beyond

Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930

Persistent link: https://www.econbiz.de/10011569906