Zobrazeno 1 - 10
of 301
pro vyhledávání: '"Crépey P"'
Cr\'epey, Frikha, and Louzi (2023) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo. The optimal complexity of the scheme is in $O({\varepsilon}^{-5/2})$,
Externí odkaz:
http://arxiv.org/abs/2408.06531
We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on simulated data, validatable by low-cost companion Monte Carlo procedure
Externí odkaz:
http://arxiv.org/abs/2407.18583
Autor:
Crépey, Stéphane
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model filtratio
Externí odkaz:
http://arxiv.org/abs/2407.15460
We propose a distributional formulation of the spanning problem of a multi-asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish
Externí odkaz:
http://arxiv.org/abs/2403.14231
Motivated by the equations of cross valuation adjustments (XVAs) in the realistic case where capital is deemed fungible as a source of funding for variation margin, we introduce a simulation/regression scheme for a class of anticipated BSDEs, where t
Externí odkaz:
http://arxiv.org/abs/2401.13314
Autor:
Bastide, Dorinel, Crépey, Stéphane
Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-market, covariances of elliptically distributed latent factors. These resul
Externí odkaz:
http://arxiv.org/abs/2401.07728
Cr\'epey, Frikha, and Louzi (2023) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit theorems for t
Externí odkaz:
http://arxiv.org/abs/2311.15333
For vanilla derivatives that constitute the bulk of investment banks' hedging portfolios, central clearing through central counterparties (CCPs) has become hegemonic. A key mandate of a CCP is to provide an efficient and proper clearing member defaul
Externí odkaz:
http://arxiv.org/abs/2310.02608
Darwinian model risk is the risk of mis-price-and-hedge biased toward short-to-medium systematic profits of a trader, which are only the compensator of long term losses becoming apparent under extreme scenarios where the bad model of the trader no lo
Externí odkaz:
http://arxiv.org/abs/2304.02479
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be computed via simulations conditional on the realization of future risk fa
Externí odkaz:
http://arxiv.org/abs/2304.01207