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QuantMinds International
18 - 21 November 2024
InterContinental O2London

Stéphane Crépey
Professor of Mathematics at Université Paris Cité, Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Speaker

Profile

Stéphane Crépey is Distinguished Professor of Mathematics at Université Paris Cité, Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Team Mathematical Finance and Numerical Probability. His ongoing research interests are counterparty credit risk, XVA analysis, central counterparties, quantitative reverse stress tests; model risk and uncertainty quantification; machine learning for finance (learning conditional expectations and risk measures, calibration by neural networks or Gaussian processes, anomaly detection,...); backward stochastic differential equations (reflected, anticipated, in combination with progressive enlargement of filtration,...). He is the author of numerous research papers published in journals including Annals of Probability, Finance and Stochastics, Mathematical Finance, Stochastic Processes and their Applications or Risk Magazine. He wrote two books: Financial Modeling: A Backward Stochastic Differential Equations Perspective (S. Crépey, Springer Finance Textbook Series, 2013) and Counterparty Risk and Funding, a Tale of Two Puzzles (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014). He is a member of the scientific council of the French financial markets authority (AMF). Stéphane graduated from ENSAE ParisTech and holds a PhD in differential games and mathematical finance from Ecole Polytechnique and INRIA Sophia Antipolis.

Agenda Sessions

  • Chair's Welcome Remarks

    11:40
  • Learning Value-at-Risk and Expected Shortfall

    17:30