· I am professor at the Mathematics Department of Evry University, in charge of the group Probability and Finance and of the M2IF Engineering and Finance (Evry) branch of the Paris Saclay MSc quantitative finance program.
· My research interests are financial modeling, counterparty risk, XVA analysis, CCPs, and related mathematical topics in the fields of backward stochastic differential equations, random times modeling and enlargement of filtrations.
- S. Crépey and S. Song. Invariance Times Transfer Properties and Applications. Working paper.
- S. Crépey and S. Song. Invariance times. Forthcoming in Annals of Probability.
- 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. Forthcoming in ESAIM: Proceedings and Surveys.
- Y. Armenti and S. Crépey. Central clearing valuation adjustment. SIAM Journal on Financial Mathematics (8) 274-313, 2017.
- Y. Armenti and S. Crépey. XVA Metrics for CCP Optimisation. Working paper.
- Y. Armenti, S. Crépey, S. Drapeau and A. Papapantoleon. Multivariate shortfall risk allocation and systemic risk. Working paper..
- C. Albanese and S. Crépey. XVA Analysis From the Balance Sheet. Working paper.
- C. Albanese, S. Caenazzo and S. Crépey. Credit, Funding, Margin, and Capital Valuation Adjustments for Bilateral Portfolios. Forthcoming in Probability, Uncertainty and Quantitative Risk.
- S. Crépey, R. Elie, and W. Sabbagh. When capital is a funding source: The XVA Anticipated BSDEs. Working paper.
- Y. Armenti, C. Zhou and S. Crépey. The Sustainable Black-Scholes Equations. Forthcoming in Actuarial Science and Quantitative Finance: ICASQF2016, Cartagena, Colombia, June 2016, Springer Proceedings in Mathematics & Statistics, Springer.
- C. Albanese, S. Caenazzo and S. Crépey, Capital and Funding. Risk Magazine, May 2016.
- S. Crépey and S. Song. Counterparty risk and funding: Immersion and beyond. long preprint version. Short eponymous version published as Finance and Stochastics 20 (4), pp. 910-930, 2016.
- 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.
- 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, 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.
- 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.
- 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, 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. Calibration of the local volatility in a trinomial tree using Tikhonov regularization. Inverse Problems, 19 (2003), 91-127.
- S. Crépey. Delta-hedging Vega Risk? Quantitative Finance 4, 559–579, 2004.
- 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.
· Monte Carlo
- 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.
- 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.
· Associate editor or SIAM Journal on Financial Mathematics and International Journal of Theoretical and Applied Finance
· Member of the scientific council of the AMF (French financial markets authority).