St'ephane Cr'epey

Finance · 2004–2015

A researcher in the Science corpus: 9 papers; trusts 52 researchers and is trusted by 5 researchers here, as inferred from the citation graph.

Subfields

• Finance — 90 citations into it; #4,471 of 10,518 by trust here, #4,858 by citations
• Economics and Econometrics — 37 citations into it
• Management Science and Operations Research — 11 citations into it; #5,966 of 11,946 by trust here, #8,062 by citations
• Demography — 10 citations into it
• Statistics and Probability — 9 citations into it
• Applied Mathematics — 7 citations into it
• Mathematical Physics — 7 citations into it

Whom St'ephane Cr'epey trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tomasz R. Bielecki
2. Damiano Brigo
3. Rüdiger Frey
4. Monique Jeanblanc
5. Marek Rutkowski
6. Ashkan Nikeghbali
7. Rama Cont
8. John C. Hull
9. René L. Schilling
10. David X. Li

Who trusts St'ephane Cr'epey overall

1. Damiano Brigo
2. Tomasz R. Bielecki
3. John C. Hull
4. Natividad Blasco
5. Ying Jiao
6. H. Buhler
7. Marie Claire Quenez

Papers from St'ephane Cr'epey's perspective

Ordered by how strongly the researchers St'ephane Cr'epey trusts endorse each paper. Same corpus, a different order for every researcher.

1. Credit Risk: Modeling, Valuation And Hedging
2. On Default Correlation: A Copula Function Approach
3. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings
4. The Pricing of Options and Corporate Liabilities
5. The Mathematics of Arbitrage
6. On Models of Default Risk
7. Up and down credit risk
8. RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
9. PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
10. BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives

Their papers

• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2015) — 151 citations
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014) — 82 citations
• Financial Modeling: A Backward Stochastic Differential Equations Perspective (2013) — 49 citations
• About the Pricing Equations in Finance (2011) — 51 citations
• Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010) — 68 citations
• Up and down credit risk (2010) — 53 citations
• Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008) — 126 citations
• Arbitrage pricing of defaultable game options with applications to convertible bonds (2008) — 57 citations
• Delta-hedging vega risk? (2004) — 61 citations