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Publications by Stéphane Crépey

Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

Springer Proceedings in Mathematics and Statistics

English

Credit, Funding, Margin, and Capital Valuation Adjustments for Bilateral Portfolios

Probability, Uncertainty and Quantitative Risk

English

Related publications

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Journal of Credit Risk

English

Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM

Frontiers in Applied Mathematics and Statistics

Applied Mathematics

English

The Pricing Implications of Counterparty Risk for Non-Linear Credit Products

Journal of Credit Risk

English

The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives

Multidisciplinary

English

Managing Credit Risk With Credit and Macro Derivatives

Schmalenbach Business Review

English

Monte Carlo Based Stochastic Approach for First Order Nonlinear ODE Systems

Pamukkale University Journal of Engineering Sciences

English

Monte Carlo Calculations of the REBUS Critical Experiment for Validation of Burn-Up Credit

English

Monte Carlo Simulation Study of Regression Models Used to Estimate the Credit Banking Risk in Home Equity Loans

English

A Parametric Acceleration of Multilevel Monte Carlo Convergence for Nonlinear Variably Saturated Flow

Computational Geosciences

Computational Theory

Computer Science Applications

Computers in Earth Sciences

Computational Mathematics

English