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Frédéric Vrins
(Frederic Vrins)

Personal Details

First Name:Frederic
Middle Name:
Last Name:Vrins
Suffix:
RePEc Short-ID:pvr28
[This author has chosen not to make the email address public]
https://uclouvain.be/fr/repertoires/frederic.vrins

Affiliation

Louvain Finance
Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM)
Université Catholique de Louvain

Louvain-la-Neuve, Belgium
https://uclouvain.be/en/research-institutes/lidam/lfin
RePEc:edi:lfuclbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2022. "On the optimal combination of naive and mean-variance portfolio strategies," LIDAM Discussion Papers LFIN 2022006, Université catholique de Louvain, Louvain Finance (LFIN).
  2. Mbaye, Cheikh & Sagna, Abass & Vrins, Frédéric, 2022. "A general firm value model under partial information," LIDAM Discussion Papers LFIN 2022009, Université catholique de Louvain, Louvain Finance (LFIN).
  3. DeMiguel, Victor & Lassance, Nathan & Vrins, Frédéric, 2021. "Optimal Portfolio Diversification via Independent Component Analysis," LIDAM Discussion Papers LFIN 2021014, Université catholique de Louvain, Louvain Finance (LFIN).
  4. Barbagli, Matteo & Vrins, Frédéric, 2021. "Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default," LIDAM Discussion Papers LFIN 2021009, Université catholique de Louvain, Louvain Finance (LFIN).
  5. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
  6. Vrins, Frédéric & Wang, Linqi, 2021. "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
  7. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
  8. Herr, Donovan & Clausse, Emilien & Vrins, Frédéric, 2021. "Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?," LIDAM Discussion Papers LFIN 2021012, Université catholique de Louvain, Louvain Finance (LFIN).
  9. Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
  10. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).
  11. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2020. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," LIDAM Discussion Papers LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
  12. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
  13. Cheikh Mbaye & Abass Sagna & Fr'ed'eric Vrins, 2019. "Conditional survival probabilities under partial information: a recursive quantization approach with applications," Papers 1909.01970, arXiv.org.
  14. Vrins, Frédéric, 2019. "Advances in Credit Risk Modeling and Management," LIDAM Reprints LFIN 2019001, Université catholique de Louvain, Louvain Finance (LFIN).
  15. Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
  16. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2019. "SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
  17. Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).
  18. Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN 2019003, Université catholique de Louvain, Louvain Finance (LFIN).
  19. Profeta, Christophe & Vrins, Frédéric, 2019. "Piecewise constant martingales and lazy clocks," LIDAM Reprints LFIN 2019004, Université catholique de Louvain, Louvain Finance (LFIN).
  20. Paolo Gambetti & Genevière Gauthier & Frédéric Vrins, 2018. "Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products," LIDAM Reprints CORE 3060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  21. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
  22. Vrins, Frédéric & Petitjean, Mikael, 2018. "Extreme events and the cumulative distribution of net gains in gambling and structured products," LIDAM Reprints LFIN 2018010, Université catholique de Louvain, Louvain Finance (LFIN).
  23. Mbaye, Cheikh & Vrins, Frédéric, 2018. "A subordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints LFIN 2018016, Université catholique de Louvain, Louvain Finance (LFIN).
  24. Vrins, Frédéric, 2018. "Bannissement des produits dérivés: la bonne affaire ?," LIDAM Reprints LFIN 2018014, Université catholique de Louvain, Louvain Finance (LFIN).
  25. Philippe Chevalier & Frédéric Vrins, 2018. "Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence," LIDAM Reprints CORE 2981, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  26. Vrins, Frédéric, 2018. "Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint," LIDAM Reprints LFIN 2018005, Université catholique de Louvain, Louvain Finance (LFIN).
  27. Lassance, Nathan & Vrins, Frédéric, 2018. "A Comparison of Pricing and Hedging Performances of Equity Derivatives Models," LIDAM Reprints LFIN 2018017, Université catholique de Louvain, Louvain Finance (LFIN).
  28. Cheikh MBAYE & Gilles PAGES & Frédéric VRINS, 2017. "An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES," LIDAM Reprints CORE 2843, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  29. Vrins, Frédéric, 2017. "Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics," LIDAM Reprints LFIN 2017001, Université catholique de Louvain, Louvain Finance (LFIN).
  30. PROFETA Christophe & VRINS Frédéric, 2017. "Screening procrastinators with automatiic-renewal contracts," LIDAM Discussion Papers CORE 2017031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  31. Fr'ed'eric Vrins, 2016. "Wrong-Way Risk Models: A Comparison of Analytical Exposures," Papers 1605.05100, arXiv.org.
  32. Fr'ed'eric Vrins & Monique Jeanblanc, 2016. "Conic Martingales from Stochastic Integrals," Papers 1603.07488, arXiv.org.
  33. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.
  34. Frédéric VRINS, 2016. "Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes," LIDAM Reprints CORE 2804, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  35. Vrins, F. & Jeanblanc, M., 2015. "The [phi]-Martingale," LIDAM Discussion Papers CORE 2015022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," LIDAM Reprints LFIN 2013003, Université catholique de Louvain, Louvain Finance (LFIN).

Articles

  1. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," Economic Modelling, Elsevier, vol. 125(C).
  2. Frédéric Vrins & Linqi Wang, 2023. "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 279-295, February.
  3. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
  4. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(1), pages 97-116.
  5. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
  6. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.
  7. Nathan Lassance & Victor DeMiguel & Frédéric Vrins, 2022. "Optimal Portfolio Diversification via Independent Component Analysis," Operations Research, INFORMS, vol. 70(1), pages 55-72, January.
  8. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1050-1050.
  9. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," Journal of Banking & Finance, Elsevier, vol. 126(C).
  10. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2021. "Forecasting recovery rates on non-performing loans with machine learning," International Journal of Forecasting, Elsevier, vol. 37(1), pages 428-444.
  11. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
  12. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
  13. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
  14. BRIGO, Damiano & VRINS, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1154-1164.
  15. Cheikh Mbaye & Frédéric Vrins, 2018. "A Subordinated Cir Intensity Model With Application To Wrong-Way Risk Cva," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-22, November.
  16. Frédéric Vrins, 2018. "Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint," Risks, MDPI, vol. 6(3), pages 1-13, June.
  17. Frédéric Vrins & Mikael Petitjean, 2018. "Extreme events and the cumulative distribution of net gains in gambling and structured products," Applied Economics, Taylor & Francis Journals, vol. 50(58), pages 6285-6300, December.
  18. Nathan Lassance & Frédéric Vrins, 2018. "A comparison of pricing and hedging performances of equity derivatives models," Applied Economics, Taylor & Francis Journals, vol. 50(10), pages 1122-1137, February.
  19. Monique Jeanblanc & Frédéric Vrins, 2018. "Conic martingales from stochastic integrals," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 516-535, April.
  20. Frédéric Vrins, 2017. "Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
  21. Vrins, Frédéric, 2016. "Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 55-61.
  22. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 318-337.

Chapters

  1. Damiano Brigo & Thomas Hvolby & Frédéric Vrins, 2018. "Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 2, pages 27-45, World Scientific Publishing Co. Pte. Ltd..

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. DeMiguel, Victor & Lassance, Nathan & Vrins, Frédéric, 2021. "Optimal Portfolio Diversification via Independent Component Analysis," LIDAM Discussion Papers LFIN 2021014, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Hafner, Christian M. & Herwartz, Helmut, 2022. "Dynamic score driven independent component analysis," LIDAM Reprints ISBA 2022010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
    4. Hafner, Christian & Wang, Linqi, 2020. "Dynamic portfolio selection with sector-specific regularization," LIDAM Discussion Papers ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
    6. Lassance, Nathan, 2021. "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN 2021013, Université catholique de Louvain, Louvain Finance (LFIN).

  2. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
    3. Vitor Azevedo & Georg Sebastian Kaiser & Sebastian Mueller, 2023. "Stock market anomalies and machine learning across the globe," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 419-441, September.
    4. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
    5. Braga, Maria Debora & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "Kurtosis-Based Risk Parity: Methodology and Portfolio Effects," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202208, University of Turin.
    6. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
    7. Rogelio Ladrón de Guevara Cortés & Salvador Torra Porras & Enric Monte Moreno, 2021. "Comparison of Statistical Underlying Systematic Risk Factors and Betas Driving Returns on Equities," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-25, Septiembr.
    8. Eranda c{C}ela & Stephan Hafner & Roland Mestel & Ulrich Pferschy, 2022. "Integrating multiple sources of ordinal information in portfolio optimization," Papers 2211.00420, arXiv.org, revised Jul 2023.
    9. Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
    10. Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
    11. Inés Jiménez & Andrés Mora-Valencia & Javier Perote, 2022. "Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies," Risk Management, Palgrave Macmillan, vol. 24(1), pages 81-99, March.

  3. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023. "First passage times in portfolio optimization: a novel nonparametric approach," Working Papers w202309, Banco de Portugal, Economics and Research Department.

  4. Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Jennifer Betz & Ralf Kellner & Daniel Rösch, 2021. "Time matters: How default resolution times impact final loss rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(3), pages 619-644, June.
    4. Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).

  5. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Nazemi, Abdolreza & Rezazadeh, Hani & Fabozzi, Frank J. & Höchstötter, Markus, 2022. "Deep learning for modeling the collection rate for third-party buyers," International Journal of Forecasting, Elsevier, vol. 38(1), pages 240-252.
    2. Andrey Koltays & Anton Konev & Alexander Shelupanov, 2021. "Mathematical Model for Choosing Counterparty When Assessing Information Security Risks," Risks, MDPI, vol. 9(7), pages 1-13, July.
    3. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    4. González, Marta Ramos & Ureña, Antonio Partal & Fernández-Aguado, Pilar Gómez, 2023. "Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Konstantin Gorgen & Abdolreza Nazemi & Melanie Schienle, 2022. "Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates," Papers 2206.06026, arXiv.org.
    6. Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
    7. Lisa Crosato & Caterina Liberati & Marco Repetto, 2021. "Look Who's Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default," Papers 2108.13914, arXiv.org, revised Sep 2021.
    8. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    9. Damiano Brigo & Xiaoshan Huang & Andrea Pallavicini & Haitz Saez de Ocariz Borde, 2021. "Interpretability in deep learning for finance: a case study for the Heston model," Papers 2104.09476, arXiv.org.
    10. Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
    11. Marc Gürtler & Marvin Zöllner, 2023. "Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 251-287, March.
    12. Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).

  6. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2020. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," LIDAM Discussion Papers LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.
    2. Roccazzella, Francesco & Candelon, Bertrand, 2022. "Should we care about ECB inflation expectations?," LIDAM Discussion Papers LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L, 2022. "Global combinations of expert forecasts," Working Papers BAWP-2022-02, University of Sydney Business School, Discipline of Business Analytics.
    5. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1050-1050.
    6. Ryan Thompson & Yilin Qian & Andrey L. Vasnev, 2022. "Flexible global forecast combinations," Papers 2207.07318, arXiv.org, revised Mar 2024.
    7. Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023. "Too similar to combine? On negative weights in forecast combination," International Journal of Forecasting, Elsevier, vol. 39(1), pages 18-38.
    8. Zhentao Shi & Liangjun Su & Tian Xie, 2020. "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers 2010.09477, arXiv.org, revised Aug 2022.
    9. Nikita Dmitrievich Senchilo & Denis Anatolievich Ustinov, 2021. "Method for Determining the Optimal Capacity of Energy Storage Systems with a Long-Term Forecast of Power Consumption," Energies, MDPI, vol. 14(21), pages 1-25, October.

  7. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Pascal François, 2019. "The Determinants of Market-Implied Recovery Rates," Risks, MDPI, vol. 7(2), pages 1-15, May.
    2. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.
    3. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    5. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2021. "Forecasting recovery rates on non-performing loans with machine learning," International Journal of Forecasting, Elsevier, vol. 37(1), pages 428-444.
    6. Roccazzella, Francesco & Candelon, Bertrand, 2022. "Should we care about ECB inflation expectations?," LIDAM Discussion Papers LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
    7. Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
    8. Stephan Höcht & Aleksey Min & Jakub Wieczorek & Rudi Zagst, 2022. "Explaining Aggregated Recovery Rates," Risks, MDPI, vol. 10(1), pages 1-30, January.
    9. Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
    10. Sopitpongstorn, Nithi & Silvapulle, Param & Gao, Jiti & Fenech, Jean-Pierre, 2021. "Local logit regression for loan recovery rate," Journal of Banking & Finance, Elsevier, vol. 126(C).
    11. Meng, Qingbin & Huang, Haozheng & Li, Xinyu & Wang, Song, 2023. "Short-selling and corporate default risk: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 398-417.
    12. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," Economic Modelling, Elsevier, vol. 125(C).
    13. Li, Yong & Mu, Yuandong & Qin, Tianyu, 2021. "Economic uncertainty: A key factor to understanding idiosyncratic volatility puzzle," Finance Research Letters, Elsevier, vol. 42(C).
    14. Jennifer Betz & Ralf Kellner & Daniel Rösch, 2021. "Time matters: How default resolution times impact final loss rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(3), pages 619-644, June.
    15. Masahiko Egami & Rusudan Kevkhishvili, 2020. "Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution," Papers 2009.00868, arXiv.org, revised Mar 2024.
    16. Hui-Ching Chuang & Jau-er Chen, 2023. "Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles," Econometrics, MDPI, vol. 11(1), pages 1-20, February.
    17. Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).

  8. Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).

  9. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2019. "SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  10. Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.

  11. Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN 2019003, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Sandhya Devi & Sherman Page, 2022. "Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios," Papers 2205.13625, arXiv.org.
    3. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
    4. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    5. Sandhya Devi, 2019. "Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure," Papers 1901.04945, arXiv.org, revised Mar 2019.
    6. Devi, Sandhya, 2018. "Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure," MPRA Paper 91614, University Library of Munich, Germany.

  12. Profeta, Christophe & Vrins, Frédéric, 2019. "Piecewise constant martingales and lazy clocks," LIDAM Reprints LFIN 2019004, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  13. Paolo Gambetti & Genevière Gauthier & Frédéric Vrins, 2018. "Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products," LIDAM Reprints CORE 3060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
    2. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.

  14. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
    2. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
    3. Ashish Kumar & Laszlo Markus & Norbert Hari, 2021. "Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework," Papers 2107.06349, arXiv.org.
    4. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
    5. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.
    6. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
    7. Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.
    8. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
    9. Marc Chataigner & Stéphane Crépey, 2019. "Credit Valuation Adjustment Compression by Genetic Optimization," Risks, MDPI, vol. 7(4), pages 1-21, September.
    10. Ketelbuters, John-John & Hainaut, Donatien, 2022. "CDS pricing with fractional Hawkes processes," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1139-1150.
    11. Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
    12. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
    13. Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.
    14. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
    15. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.
    16. Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).

  15. Mbaye, Cheikh & Vrins, Frédéric, 2018. "A subordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints LFIN 2018016, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.

  16. Vrins, Frédéric, 2018. "Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint," LIDAM Reprints LFIN 2018005, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Lamboni, Matieyendou, 2022. "Efficient dependency models: Simulating dependent random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 200(C), pages 199-217.

  17. Lassance, Nathan & Vrins, Frédéric, 2018. "A Comparison of Pricing and Hedging Performances of Equity Derivatives Models," LIDAM Reprints LFIN 2018017, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
    2. Maciej Augustyniak & Alexandru Badescu & Mathieu Boudreault, 2023. "On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees," JRFM, MDPI, vol. 16(2), pages 1-18, February.
    3. Nian, Ke & Coleman, Thomas F & Li, Yuying, 2021. "Learning sequential option hedging models from market data," Journal of Banking & Finance, Elsevier, vol. 133(C).

  18. Vrins, Frédéric, 2017. "Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics," LIDAM Reprints LFIN 2017001, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
    3. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).

  19. Fr'ed'eric Vrins, 2016. "Wrong-Way Risk Models: A Comparison of Analytical Exposures," Papers 1605.05100, arXiv.org.

    Cited by:

    1. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.

  20. Fr'ed'eric Vrins & Monique Jeanblanc, 2016. "Conic Martingales from Stochastic Integrals," Papers 1603.07488, arXiv.org.

    Cited by:

    1. Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
    3. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.
    4. Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Frédéric Vrins, 2017. "Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
    6. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
    7. Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.

  21. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.

    Cited by:

    1. Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
    3. David Xiao, 2023. "Default Process Modeling and Credit Valuation Adjustment," Papers 2309.03311, arXiv.org.
    4. Lee, David, 2023. "Default Forecasting and Credit Valuation Adjustment," MPRA Paper 118578, University Library of Munich, Germany.
    5. Frédéric Vrins, 2017. "Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
    6. Feng, Yaqin & Wang, Min & Zhang, Yuanqing, 2019. "CVA for Cliquet options under Heston model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 272-282.

  22. Vrins, F. & Jeanblanc, M., 2015. "The [phi]-Martingale," LIDAM Discussion Papers CORE 2015022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Frédéric Vrins, 2017. "Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
    2. Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.

  23. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," LIDAM Reprints LFIN 2013003, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Arbel, Julyan & Crispino, Marta & Girard, Stéphane, 2019. "Dependence properties and Bayesian inference for asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    2. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
    3. Philipp Arbenz & Mathieu Cambou & Marius Hofert, 2014. "An importance sampling approach for copula models in insurance," Papers 1403.4291, arXiv.org, revised Apr 2015.

Articles

  1. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
    See citations under working paper version above.
  2. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(1), pages 97-116.
    See citations under working paper version above.
  3. Cheikh Mbaye & Frédéric Vrins, 2022. "Affine term structure models: A time‐change approach with perfect fit to market curves," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
    See citations under working paper version above.
  4. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.
    See citations under working paper version above.
  5. Nathan Lassance & Victor DeMiguel & Frédéric Vrins, 2022. "Optimal Portfolio Diversification via Independent Component Analysis," Operations Research, INFORMS, vol. 70(1), pages 55-72, January.
    See citations under working paper version above.
  6. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1050-1050.

    Cited by:

    1. Roccazzella, Francesco & Candelon, Bertrand, 2022. "Should we care about ECB inflation expectations?," LIDAM Discussion Papers LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L, 2022. "Global combinations of expert forecasts," Working Papers BAWP-2022-02, University of Sydney Business School, Discipline of Business Analytics.
    3. Ryan Thompson & Yilin Qian & Andrey L. Vasnev, 2022. "Flexible global forecast combinations," Papers 2207.07318, arXiv.org, revised Mar 2024.

  7. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," Journal of Banking & Finance, Elsevier, vol. 126(C).
    See citations under working paper version above.
  8. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2021. "Forecasting recovery rates on non-performing loans with machine learning," International Journal of Forecasting, Elsevier, vol. 37(1), pages 428-444.
    See citations under working paper version above.
  9. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
    See citations under working paper version above.
  10. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
    See citations under working paper version above.
  11. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
    See citations under working paper version above.
  12. BRIGO, Damiano & VRINS, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1154-1164.
    See citations under working paper version above.
  13. Cheikh Mbaye & Frédéric Vrins, 2018. "A Subordinated Cir Intensity Model With Application To Wrong-Way Risk Cva," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-22, November.
    See citations under working paper version above.
  14. Frédéric Vrins, 2018. "Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint," Risks, MDPI, vol. 6(3), pages 1-13, June.
    See citations under working paper version above.
  15. Nathan Lassance & Frédéric Vrins, 2018. "A comparison of pricing and hedging performances of equity derivatives models," Applied Economics, Taylor & Francis Journals, vol. 50(10), pages 1122-1137, February.
    See citations under working paper version above.
  16. Monique Jeanblanc & Frédéric Vrins, 2018. "Conic martingales from stochastic integrals," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 516-535, April.
    See citations under working paper version above.
  17. Frédéric Vrins, 2017. "Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-35, November.
    See citations under working paper version above.
  18. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 318-337.
    See citations under working paper version above.

Chapters

  1. Damiano Brigo & Thomas Hvolby & Frédéric Vrins, 2018. "Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 2, pages 27-45, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
    2. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
    3. Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
    4. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
    5. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (14) 2010-08-21 2016-05-28 2016-11-13 2019-03-18 2019-09-16 2020-10-12 2020-10-12 2020-10-12 2020-10-12 2022-02-28 2022-02-28 2022-02-28 2022-10-31 2022-10-31. Author is listed
  2. NEP-BIG: Big Data (3) 2020-10-12 2020-10-12 2020-10-12
  3. NEP-CMP: Computational Economics (2) 2020-10-12 2020-10-12
  4. NEP-ECM: Econometrics (2) 2010-08-21 2020-10-12
  5. NEP-BAN: Banking (1) 2020-10-12
  6. NEP-CFN: Corporate Finance (1) 2022-10-31
  7. NEP-CWA: Central and Western Asia (1) 2022-02-28
  8. NEP-ETS: Econometric Time Series (1) 2016-03-17
  9. NEP-FDG: Financial Development and Growth (1) 2020-10-12
  10. NEP-FOR: Forecasting (1) 2020-10-12
  11. NEP-MAC: Macroeconomics (1) 2022-02-28
  12. NEP-MIC: Microeconomics (1) 2010-08-21
  13. NEP-ORE: Operations Research (1) 2020-10-12

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