Stephane.Crepey@lpsm.paris

·     Professor in applied mathematics, Université Paris Cité / LPSM, Team Financial and Actuarial Mathematics, Numerical Probability  Building Sophie Germain, 8 Place Aurélie Nemours, 75013 Paris (office 5046).

·     Research interests:

-counterparty credit risk and XVA analysis, central counterparties, quantitative reverse stress testing;

- model risk and uncertainty quantification;

- backward stochastic differential equations, random times modeling, enlargement of filtration;

- machine learning in finance: supervised learning of payoffs / prices /sensitivities / risk metrics, model calibration by neural nets or Gaussian processes regression, anomaly detection.

 

   Books  

·        S. Crépey. Financial Modeling, A Backward Stochastic Differential Equations Perspective (with exercises, corrected problems and Matlab scripts). Springer Finance Textbook Series, June 2013. Abstracts by chapters

·        S. Crépey and T. Bielecki (with an introductory dialogue by D. Brigo). Counterparty Risk and Funding, A Tale of Two Puzzles. Chapman & Hall/CRC  Financial Mathematics Series, June 2014. Sample Summary

 

Papers (sections by order of most recent last updated entry)

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·    Model Risk and Uncertainty Quantification

-       C. Albanese, C. Benezet, and S. Crépey. Hedging Valuation Adjustment and Model Risk.  Working paper.   

-       C. Albanese, S. Crépey, and S. Iabichino.  Quantitative reverse stress testing, bottom up. Quantitative Finance, Forthcoming.

-           C. Albanese, S. Crépey, and S. Iabichino.  A Darwinian theory of model risk. Risk Magazine, July 2021.

-           S. Crépey, G. Fort, E. Gobet, and U. Stazhynski. Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. SIAM/ASA Journal on Uncertainty Quantification 8(3), 1061-1089, 2020.  Also extended abstract version (in French).

-          Y. Armenti, C. Zhou and S. Crépey. The Sustainable Black-Scholes Equations. In Actuarial Science and Quantitative Finance: ICASQF2016, Cartagena, Colombia, June 2016, Springer Proceedings in Mathematics & Statistics, Springer, pp. 155-167, 2017.

·        Machine Learning (and Genetic Algorithms) in Finance

-           D. Barrera, S. Crépey, E. Gobet, H. D. Nguyen and B. Saadeddine.  Learning value-at-risk and expected shortfall. Working Paper.

-           L. Abbas-Turki, S. Crépey, and B. Saadeddine.  Pathwise CVA regressions with oversimulated defaults. Forthcoming in Mathematical Finance.

-           S. Crépey, N. Lehdili, N. Madhar, and M. Thomas.  Anomaly detection on financial time series by principal component analysis and neural networks regressions. Algorithms 15(385), 2022 (doi.org/10.3390/a15100385, 38 pages).

-           M. Chataigner, A. Cousin, S. Crépey, M. Dixon, and D. Gueye. Beyond surrogate modeling: Learning the local volatility via shape constraints. SIAM Journal on Financial Mathematics / Short Communications 12(3), SC58-SC69, 2021.

-           M. Chataigner, S. Crépey, and J. Pu. Nowcasting networks. Journal of Computational Finance 24(3), DOI: 10.21314/JCF.2020.404 pages 1-39, 2020

-           C. Albanese, S. Crépey, R. Hoskinson, and B. Saadeddine. XVA analysis from the balance sheet. Quantitative Finance 21 (1), 99-123, 2021.

-           M. Chataigner, S. Crépey, and M. Dixon. Deep local volatility. Risks 8(82), 18 pages, 2020. Special Issue Machine Learning in Finance, Insurance and Risk Management. Feature Paper invited by Guest Editor.

-           S. Crépey and M. Dixon. Gaussian process regression for derivative portfolio modeling and application to CVA computations. Journal of Computational Finance 24(1), 1-35, 2020.

-           M. Chataigner and S. Crépey.  Credit Valuation Adjustment Compression by Genetic Optimization. Risks 7(4), 100, 2019. Special Issue Advances in Credit Risk Modeling and Management. Feature Paper invited by Guest Editor.

-          R. Carmona, S. Crépey. Particle Methods for the Estimation of Markovian Credit Portfolios Loss Distribution. International Journal of Theoretical and Applied Finance 13 ( 4),  577-602, 2010.

·    Random Times, Enlargement of Filtration, and BSDEs Stopped Before Before a Random Time

-      S. Crépey. Invariance times transfer properties. Working Paper.

-      S. Crépey and S. Song. Invariance times. Annals of Probability 45 (6B), 4632-4674, 2017.

-           S. Crépey and S. Song. BSDEs of counterparty risk. Stochastic Processes and Applications 125 (8), 3023-3052, 2015.

-          S. Crépey and S. Song  Invariance Properties in the Dynamic Gaussian Copula Model.  ESAIM: Proceedings and Surveys  56, 22-41, 2017.

·    Capital and Funding

-           S. Crépey. Positive XVAs.  Frontiers of Mathematical Finance, 1(3), 425-465, 2022 (doi: 10.3934/fmf.2022003).

-           S. Crépey, W. Sabbagh, and S. Song. When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. SIAM Journal on Financial Mathematics  11(1), 99–130, 2020.

-           C. Albanese, M. Chataigner and S. Crépey. Wealth transfers, indifference pricing, and     XVA compression schemes. In From Probability to Finance - Lecture note of BICMR   summer school on financial mathematics, Y. Jiao (ed.). Springer Mathematical Lectures from Peking University Series, Springer, 2019 (forthcoming).

-           C. Albanese, S. Caenazzo  and S. Crépey. Credit, Funding, Margin, and Capital Valuation Adjustments for Bilateral Portfolios. Probability, Uncertainty and Quantitative Risk (2) 7, 26 pages, 2017 (DOI 10.1186/s41546-017-0019-2).

-          C. Albanese, S. Caenazzo  and S. Crépey, Capital and Funding. Risk Magazine, pp. 71-76, May 2016.

·    Central counterparties (CCPs) and Systemic Risk

-                D. Bastide, S. Crépey, S. Drapeau and M. Tadese. Derivatives Risks as Costs in a One Period Network Model. The Peter Carr Gedenkschrift / Frontiers of Mathematical Finance Special Issue, Forthcoming.

-                C. Albanese, Y. Armenti, and S. Crépey. XVA Metrics for CCP   Optimisation. Statistics & Risk Modeling 37(1-2), 25–53, 2020.

-           Y. Armenti and S. Crépey. Central clearing valuation adjustment. SIAM Journal on Financial Mathematics 8 (1) 274-313, 2017.

-           Y. Armenti, S. Crépey, S. Drapeau and A. Papapantoleon. Multivariate shortfall risk allocation and systemic risk. SIAM Journal on Financial Mathematics  9 (1) 90-126, 2018. And previous version with more Chebyshev polynomial interpolation details.

·        Simulation Methods

-           D. Barrera, S. Crépey, B. Diallo, G. Fort, E. Gobet, and U. Stazhynski. Stochastic approximation schemes for economic capital and risk margin computations. ESAIM: Proceedings and Surveys (65) 182-218, 2019.

-           L. Abbas-Turki, S. Crépey, and B. Diallo. XVA Principles, Nested  Monte Carlo, and GPU Optimizations. International Journal of Theoretical and Applied Finance (21), 1850030, 2018.

-         S. Crépey and T. M. Nguyen. Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives.  Springer Proceedings in Mathematics / Challenges in Derivatives Markets, Springer, pp. 53-82, 2016.

-           S. Crépey and A. Rahal. Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches. Communications in Statistics – Theory and Methods 43 (7), 1390-1408, 2014.

-              J.-F. Chassagneux and S. Crépey. Doubly reflected BSDEs with Call Protection and their Approximation. ESAIM: Probability and Statistics, 18, 613-641, 2014.

-          S. Crépey and A. Rahal. Pricing Convertible Bonds with Call Protection. Journal of Computational Finance 15 (2), 37-75, Winter 2011/12.

·    Counterparty Risk and Funding

-           S. Crépey and S. Song. Counterparty risk and funding: Immersion and beyond. Finance and Stochastics 20 (4), pp. 910-930, 2016.

-           S. Crépey, R. Gerboud, Z. Grbac and N. Ngor. Counterparty Risk and Funding: The Four Wings of the TVA. International Journal of Theoretical and Applied Finance March 2013.

-           S. Crépey. Bilateral  Counterparty Risk under Funding Constraints – Part I: Pricing and   Part II: CVA. Mathematical Finance online first January 2013. See also: S. Crépey. Counterparty risk and funding: putting things together. Creditflux Newsletter Analysis, pp.14-15, Dec 2011.

-           S. Crépey. Preface to the special issue ‘Frontiers of Counterparty Risk’, International Journal of Theoretical and Applied Finance March 2013.

·    Counterparty Credit Risk

-                S. Crépey, M. Jeanblanc and D. L. Wu. Informationally Dynamized Gaussian Copula. International Journal of Theoretical and Applied Finance March 2013.

-                T. Bielecki, S. Crépey. Dynamic Hedging of Counterparty Exposure. The Musiela Festschrift, T. Zariphopoulou, M. Rutkowski and Y. Kabanov (eds.), Springer, pp. 47-71, 2014.eds, Springer.

-                S. Assefa, T. Bielecki, S. Crépey, M. Jeanblanc. CVA computation for counterparty risk assessment in credit portfolios. Short version of the eponymous paper in Credit Risk Frontiers, T. Bielecki, D. Brigo and F. Patras (eds.), Wiley, pp. 397-436, 2011.

-              T. Bielecki, S. Crépey, M. Jeanblanc and B. Zargari. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model. International Journal of Theoretical and Applied Finance  15 (1) 1250004, 2012.

-              S. Crépey, M. Jeanblanc and B. Zargari. Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults. Recent Advances in Financial Engineering 2009, M. Kijima, C. Hara, Y. Muromachi and K. Tanaka, eds, World Scientific, pp. 91-126, 2010.

·    Portfolio Credit Risk

-                T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. In search of a grand unifying theory. Creditflux Newsletter Analysis, pp.20-21, July 2013. Web full version The Bottom-Up Top-Down Puzzle Solved, creditflux.com

-                T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. Journal of Optimization Theory and Application 161 (1), 90-102, 2014.

-              T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. A Bottom-Up Dynamic Model of Portfolio Credit Risk - Part I: Markov Copula Perspective and Part II: Common-Shock Interpretation, Calibration and Hedging issues. Recent Advances in Financial Engineering 2012, World Scientific, forthcoming.

-              A. Cousin, S. Crépey and Y.-H Kan. Delta-hedging Correlation Risk? Review of Derivatives Research 15 (1) 25-56, 2012.

-                T. Bielecki, S. Crépey, A. Herbertsson. Markov Chain Models of Portfolio Credit Risk. Short version of the eponymous paper in Oxford Handbook of Credit Derivatives, A. Lipton and A. Rennie, eds.

-                T.R. Bielecki, S. Crépey, M. Jeanblanc. Up and Down Credit Risk. Quantitative Finance 10 (10) 1137-1151,  2010.

-               T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Valuation of Basket Credit Derivatives in the Credit Migrations Environment. Handbook of Financial Engineering, 2007.

·    Reflected BSDEs, Defaultable American and Game Options, and Convertibles Bonds

-              T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Convertible Bonds in a Defaultable Diffusion Model. Convertible Bonds in a Defaultable Diffusion Model. Stochastic Analysis with Financial Applications,  A. Kohatsu-Higa, N. Privault and S.J. Sheu eds, pp. 255-298, Birkhäuser / Springer Basel, 2011.

-                S. Crépey. About the Pricing Equations in Finance. Paris-Princeton Lectures in Mathematical Finance 2010, Lecture Notes in Mathematics, Springer, pp.63-203, 2011.

-              S. Crépey, A. Matoussi. Reflected and Doubly Reflected BSDEs with Jumps: A Priori Estimates and Comparison Principle. Annals of Applied Probability, 18 (5), 2041-69 (2008).

-                T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Defaultable Options in a Markovian Intensity Model of Credit Risk. Updated Version of the paper published under the same title in Mathematical Finance, 2008.

-              T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Valuation and Hedging of Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis, Article ID 695798, 33 pages, 2009 (and Long Preprint Version).

-              T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds. Quantitative Finance, 8 (8), 795 – 810, 2008.

·    Multiple Curves Interest Rate Models

-           Frederic Siboulet, Ranjeet Kumar, Raphael Douady, and Stéphane Crépey. IBOR Inside Out Transition and Challenges. Wilmott Magazine janvier 2019.

-           S Crépey, Z. Grbac, N. Ngor and D. Skovmand. A Lévy HJM multiple-curve model with application to CVA computation. Quantitative Finance 15 (3), 401-419, 2015.

-          S. Crépey and R. Douady. LOIS: Credit and Liquidity. Risk Magazine June 2013. Short version The Whys of the of the LOIS: Credit Skew and Funding Rates Volatility Bloomberg Brief / Risk 24 May 2013, pp.6-7

-          S. Crépey, Z. Grbac and H. N. Nguyen. A multiple-curve HJM model of interbank risk. Mathematics and Financial Economics 6(3) 155-190, 2012.

·    Model Calibration

-                S. Crépey, A. Macrina, N. Nguyen and D. Skovmand. Rational multi-curve models with counterparty-risk valuation adjustments. Quantitative Finance 16 (6), 847-866, 2016.

-                T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries. Communications in Statistics – Theory and Methods 43 (7), 1362-1389, 2014.

-              S. Crépey. Tikhonov Regularization.  Encyclopedia of Quantitative Finance, editor Rama Cont, pp. 1807-1812, 2010.

-                S. Crépey. Calibration of the local volatility in a trinomial tree using Tikhonov regularization. Inverse Problems, 19 (2003), 91-127.

 

·    Local Volatility

-                S. Crépey Calibration of the local volatility in a generalized Black-Scholes model using Tikhonov regularization. SIAM Journal on Mathematical Analysis, 34 (5), 1183-1206, 2003.

-           S. Crépey. Delta-hedging Vega Risk? Quantitative Finance 4, 559–579, 2004.

 

Other

·       Associate editor of Journal of Computational Finance and International Journal of Theoretical and Applied Finance.

·        Member of the scientific council of the AMF (French financial markets authority).

·       Academic fellow of the  Institut Louis Bachelier.