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Financial modeling : a backward stochastic differential equations perspective

Crépey, Stéphane - 2013

Persistent link: https://www.econbiz.de/10009770436

Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 25-53

Abstract Based on an XVA analysis of centrally cleared derivative portfolios, we consider two capital and funding issues pertaining to the efficiency of the design of central counterparties (CCPs). First, we consider an organization of a clearing framework, whereby a CCP would also play the role...

Persistent link: https://www.econbiz.de/10014621267

Defaultable options in a Markovian intensity model of credit risk

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518

Persistent link: https://www.econbiz.de/10003769008

Particle methods for the estimation of credit portfolio loss distributions

Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602

Persistent link: https://www.econbiz.de/10008905024

Valuation of basket credit derivatives in the credit migrations environment

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008

Persistent link: https://www.econbiz.de/10003567710

Pricing convertible bonds with call protection

Crépey, Stéphane; Rahal, Abdallah - In: The journal of computational finance 15 (2011/12) 2, pp. 37-75

Persistent link: https://www.econbiz.de/10009424802

Bilateral counterparty risk under funding constraints - part II : CVA

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 23-50

Persistent link: https://www.econbiz.de/10011347256

Bilateral counterparty risk under funding constraints - part I : pricing

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011347260

Counterparty risk and funding : the four wings of the TVA

Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10009748728

A multiple-curve HJM model of interbank risk

Crépey, Stéphane; Grbac, Zorana; Nguyen, Hai Nam - In: Mathematics and financial economics 6 (2012) 3, pp. 155-190

Persistent link: https://www.econbiz.de/10009624635