· Research interests: financial modeling; counterparty credit risk, XVA analysis; risk measures, central counterparties; simulation methods; calibration, training, and inverse problems; machine learning techniques; uncertainty quantification, model risk; and related mathematical topics in the fields of backward stochastic differential equations, random times modeling, enlargement of filtration, and numerical probabilities.
- M. Chataigner, S. Crépey, and J. Pu. Nowcasting Networks. Forthcoming in Journal of Computational Finance.
- 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.
· Model Risk and Uncertainty Quantification
- 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).
- C. Albanese, S. Crépey, and S. Iabichino. Reverse stress testing. Working paper.
- C. Albanese, S. Crépey, and S. Iabichino. A Darwinian theory of model risk. Working paper.
- 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.
- C. Albanese and S. Crépey. The cost-of-capital XVA approach in continuous time. Working paper (updated version of Capital valuation adjustment and funding valuation adjustment).
- 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.
- 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.
- S. Crépey and S. Song. 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.
- 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.
- 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.
- S. Crépey and A. Rahal. Pricing Convertible Bonds with Call Protection. Journal of Computational Finance 15 (2), 37-75, Winter 2011/12.
- 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.
· Non Linear Monte Carlo
- 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.
- 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 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, 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, 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.
- 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. 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.
- 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.
- 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.
· Member of the scientific council of the AMF (French financial markets authority).
· Academic fellow of the Institut Louis Bachelier.