Crepey, Stephane
- Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
2015/02/25 by Stéphane Crépey, Stephane Crepey, Andrea Macrina +6 · 1 citation
Economics, Econometrics and Finance · #Credit Risk and Financial Regulations #FOS: Economics and business #Insurance and Financial Risk Management #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #q-fin.MF
- Multivariate Shortfall Risk Allocation and Systemic Risk
2015/07/19 by Armenti, Yannick, Crepey, Stephane, Drapeau, Samuel +1 · 1 citation
#91B30 #91G #91G60 #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM)