Stéphane Crépey

12.3k total citations
67 papers, 1.0k citations indexed

About

Stéphane Crépey is a scholar working on Finance, Management Science and Operations Research and Economics and Econometrics. According to data from OpenAlex, Stéphane Crépey has authored 67 papers receiving a total of 1.0k indexed citations (citations by other indexed papers that have themselves been cited), including 58 papers in Finance, 17 papers in Management Science and Operations Research and 11 papers in Economics and Econometrics. Recurrent topics in Stéphane Crépey's work include Stochastic processes and financial applications (46 papers), Credit Risk and Financial Regulations (44 papers) and Banking stability, regulation, efficiency (17 papers). Stéphane Crépey is often cited by papers focused on Stochastic processes and financial applications (46 papers), Credit Risk and Financial Regulations (44 papers) and Banking stability, regulation, efficiency (17 papers). Stéphane Crépey collaborates with scholars based in France, United States and Sweden. Stéphane Crépey's co-authors include Tomasz R. Bielecki, Monique Jeanblanc, Areski Cousin, Shiqi Song, Damiano Brigo, Marek Rutkowski, David Hobson, Jean‐Michel Lasry, Jean‐Paul Laurent and Pierre‐Louis Lions and has published in prestigious journals such as SHILAP Revista de lepidopterología, Lecture notes in mathematics and The Annals of Probability.

In The Last Decade

Stéphane Crépey

59 papers receiving 958 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Stéphane Crépey France 19 891 191 185 139 63 67 1.0k
Gianluca Fusai Italy 17 746 0.8× 237 1.2× 192 1.0× 164 1.2× 66 1.0× 61 1.0k
Damien Lamberton France 16 914 1.0× 325 1.7× 171 0.9× 165 1.2× 94 1.5× 30 1.1k
Akihiko Takahashi Japan 19 1.1k 1.3× 264 1.4× 200 1.1× 173 1.2× 82 1.3× 132 1.3k
Shaolin Ji China 15 635 0.7× 227 1.2× 360 1.9× 211 1.5× 42 0.7× 59 783
Thilo Meyer‐Brandis Norway 14 649 0.7× 316 1.7× 159 0.9× 125 0.9× 51 0.8× 47 841
Alexander S. Cherny Russia 14 643 0.7× 283 1.5× 389 2.1× 87 0.6× 80 1.3× 28 799
Josef Teichmann Switzerland 17 709 0.8× 200 1.0× 178 1.0× 76 0.5× 156 2.5× 67 966
Ludger Overbeck Germany 15 621 0.7× 204 1.1× 164 0.9× 65 0.5× 101 1.6× 48 805
Bruno Bouchard France 18 1.1k 1.3× 454 2.4× 384 2.1× 246 1.8× 69 1.1× 70 1.3k
Filip Lindskog Sweden 14 547 0.6× 216 1.1× 297 1.6× 113 0.8× 87 1.4× 32 819

Countries citing papers authored by Stéphane Crépey

Since Specialization
Citations

This map shows the geographic impact of Stéphane Crépey's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Stéphane Crépey with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Stéphane Crépey more than expected).

Fields of papers citing papers by Stéphane Crépey

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Stéphane Crépey. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Stéphane Crépey. The network helps show where Stéphane Crépey may publish in the future.

Co-authorship network of co-authors of Stéphane Crépey

This figure shows the co-authorship network connecting the top 25 collaborators of Stéphane Crépey. A scholar is included among the top collaborators of Stéphane Crépey based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Stéphane Crépey. Stéphane Crépey is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Crépey, Stéphane, et al.. (2025). Statistical Learning of Value‐at‐Risk and Expected Shortfall. Mathematical Finance. 36(1). 156–179.
2.
Crépey, Stéphane, et al.. (2024). Asymptotic error analysis of multilevel stochastic approximations for the value-at-risk and expected shortfall. Electronic Journal of Probability. 29(none).
3.
Albanese, Claudio, et al.. (2023). Quantitative reverse stress testing, bottom up. Quantitative Finance. 23(5). 863–875.
4.
Crépey, Stéphane, et al.. (2023). Derivatives risks as costs in a one-period network model. arXiv (Cornell University). 2(3). 283–312.
5.
Crépey, Stéphane, et al.. (2022). Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural Networks. Algorithms. 15(10). 385–385. 15 indexed citations
6.
Crépey, Stéphane. (2022). Positive XVAs. 1(3). 425–425. 4 indexed citations
7.
Crépey, Stéphane, et al.. (2020). 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. 3 indexed citations
8.
Barrera, David, et al.. (2019). Stochastic approximation schemes for economic capital and risk margin computations*. SHILAP Revista de lepidopterología. 4 indexed citations
9.
Crépey, Stéphane & Shiqi Song. (2017). Invariance Properties in the Dynamic Gaussian Copula Model*. SHILAP Revista de lepidopterología. 2 indexed citations
10.
Crépey, Stéphane, et al.. (2015). Multivariate Shortfall Risk Allocation. arXiv (Cornell University). 3 indexed citations
11.
Crépey, Stéphane & Shiqi Song. (2015). BSDEs of counterparty risk. Stochastic Processes and their Applications. 125(8). 3023–3052. 14 indexed citations
12.
Crépey, Stéphane, et al.. (2014). Counterparty Risk Modeling: Beyond Immersion. 3 indexed citations
13.
Bielecki, Tomasz R., et al.. (2014). A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries. Communication in Statistics- Theory and Methods. 43(7). 1362–1389. 7 indexed citations
14.
Bielecki, Tomasz R., et al.. (2014). A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective. RePEc: Research Papers in Economics. 25–49. 5 indexed citations
15.
Crépey, Stéphane, Tomasz R. Bielecki, & Damiano Brigo. (2014). Counterparty Risk and Funding: A Tale of Two Puzzles. Medical Entomology and Zoology. 37 indexed citations
16.
Crépey, Stéphane. (2013). Financial Modeling: A Backward Stochastic Differential Equations Perspective. CERN Document Server (European Organization for Nuclear Research). 25 indexed citations
17.
Crépey, Stéphane. (2013). PREFACE. International Journal of Theoretical and Applied Finance. 16(2). 1302001–1302001. 1 indexed citations
18.
Crépey, Stéphane, et al.. (2012). A multiple-curve HJM model of interbank risk. Mathematics and Financial Economics. 6(3). 155–190. 35 indexed citations
19.
Bielecki, Tomasz R., et al.. (2011). VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL. International Journal of Theoretical and Applied Finance. 15(1). 1250004–1250004. 34 indexed citations
20.
Bielecki, Tomasz R., Stéphane Crépey, Monique Jeanblanc, & Marek Rutkowski. (2009). Defaultable Game Options in a Hazard Process Model. International Journal of Stochastic Analysis. 2009(1). 9 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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