· 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.
-
·
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.
-
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.
-
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.
-
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.
-
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.
-
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.
-
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.
-
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
-
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.
-
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.
-
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.
-
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.
-
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.
·
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.