Bilateral counterparty risk under funding constraints—Part I: Pricing S Crépey Mathematical Finance 25 (1), 1-22, 2015 | 159 | 2015 |

Calibration of the local volatility in a generalized black--scholes model using tikhonov regularization S Crépey SIAM Journal on Mathematical Analysis 34 (5), 1183-1206, 2003 | 145 | 2003 |

Bilateral counterparty risk under funding constraints—Part II: CVA S Crépey Mathematical Finance 25 (1), 23-50, 2015 | 138 | 2015 |

Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison S Crépey, A Matoussi The Annals of Applied Probability 18 (5), 2041-2069, 2008 | 128 | 2008 |

Calibration of the local volatility in a trinomial tree using Tikhonov regularization S Crépey Inverse Problems 19 (1), 91, 2002 | 110 | 2002 |

Counterparty risk and funding: A tale of two puzzles S Crépey, TR Bielecki, D Brigo CRC press, 2014 | 102 | 2014 |

Up and down credit risk TR Bielecki, S Crépey, M Jeanblanc Quantitative Finance 10 (10), 1137-1151, 2010 | 77 | 2010 |

Financial modeling S Crépey A Backward Stochastic, 2013 | 70 | 2013 |

Financial modeling S Crépey A Backward Stochastic, 2013 | 70 | 2013 |

CVA computation for counterparty risk assessment in credit portfolios S Assefa, TR Bielecki, S Crépey, M Jeanblanc, ÉA et Probabilité Credit Risk Frontiers, 397-436, 2009 | 69 | 2009 |

Arbitrage pricing of defaultable game options with applications to convertible bonds TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski Quantitative Finance 8 (8), 795-810, 2008 | 68 | 2008 |

Delta-hedging vega risk? S Crépey Quantitative Finance 4 (5), 559-579, 2004 | 61 | 2004 |

A multiple-curve HJM model of interbank risk S Crépey, Z Grbac, HN Nguyen Mathematics and Financial Economics 6 (3), 155-190, 2012 | 59 | 2012 |

Counterparty risk on a CDS in a Markov chain copula model with joint defaults S Crépey, M Jeanblanc, B Zargari Recent Advances in Financial Engineering 2009, 91-126, 2010 | 59 | 2010 |

A BSDE approach to counterparty risk under funding constraints S Crépey Available at grozny. maths. univ-evry. fr/pages perso/crepey, 2011 | 58 | 2011 |

Defaultable game options in a hazard process model TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski International Journal of Stochastic Analysis 2009, 2009 | 56* | 2009 |

Valuation and hedging of CDS counterparty exposure in a Markov copula model TR Bielecki, S Crépey, M Jeanblanc, B Zargari Finance at Fields, 75-113, 2013 | 55 | 2013 |

Defaultable options in a Markovian intensity model of credit risk TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008 | 52 | 2008 |

Valuation of basket credit derivatives in the credit migrations environment TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski Handbooks in Operations Research and Management Science 15, 471-507, 2007 | 51 | 2007 |

Multivariate shortfall risk allocation and systemic risk Y Armenti, S Crépey, S Drapeau, A Papapantoleon SIAM Journal on Financial Mathematics 9 (1), 90-126, 2018 | 50 | 2018 |