Stéphane CrépeyProfessor of Mathematics at Université Paris Cité, Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
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.