Articles by Stéphane Crépey
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
A Darwinian theory of model risk
An ex ante methodology is proposed to analyse the model risk pattern for a broad class of structures
Nowcasting networks
The authors devise a neural network-based compression/completion methodology for financial nowcasting.
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
The authors present a multi-Gaussian process regression approach, which is well suited for the over-the-counter derivative portfolio valuation involved in credit valuation adjustment (CVA) computation.