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Frédéric Vrins
(Frederic Vrins)

Personal Details

First Name:Frederic
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Last Name:Vrins
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RePEc Short-ID:pvr28
[This author has chosen not to make the email address public]
https://sites.google.com/view/fredericvrins

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. Brigo, Damiano & Vrins, Frédéric, 2026. "On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales," LIDAM Discussion Papers LFIN 2026003, Université catholique de Louvain, Louvain Finance (LFIN).
  2. Germain, Arnaud & Vrins, Frédéric, 2026. "Clagging: an efficient alternative to bagging," LIDAM Discussion Papers LFIN 2026002, Université catholique de Louvain, Louvain Finance (LFIN).
  3. Vrins, Frédéric, 2025. "Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part," LIDAM Reprints LFIN 2025010, Université catholique de Louvain, Louvain Finance (LFIN).
  4. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2025. "Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection," LIDAM Discussion Papers LFIN 2025002, Université catholique de Louvain, Louvain Finance (LFIN).
  5. Vrins, Frédéric, 2025. "On the distribution of the integral of a function with respect to a Brownian Bridge," LIDAM Discussion Papers LFIN 2025001, Université catholique de Louvain, Louvain Finance (LFIN).
  6. Barbagli, Matteo & Vrins, Frédéric, 2025. "Efficient Monte Carlo estimation of credit concentration risk," LIDAM Discussion Papers LFIN 2025003, Université catholique de Louvain, Louvain Finance (LFIN).
  7. Vanderveken, Rodolphe & Lassance, Nathan & Vrins, Frédéric, 2024. "Optimal Portfolio Size under Parameter Uncertainty," LIDAM Discussion Papers LFIN 2024004, Université catholique de Louvain, Louvain Finance (LFIN).
  8. Hainaut, Donatien & Vrins, Frédéric, 2024. "European option pricing with model constrained Gaussian process regressions," LIDAM Discussion Papers ISBA 2024021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. 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).
  10. Germain, Arnaud & Vrins, Frédéric, 2024. "Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering," LIDAM Discussion Papers LFIN 2024006, Université catholique de Louvain, Louvain Finance (LFIN).
  11. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2023. "On the Combination of Naive and Mean-Variance Portfolio Strategies," LIDAM Reprints LFIN 2023012, Université catholique de Louvain, Louvain Finance (LFIN).
  12. Vrins, Frédéric, 2023. "SVB, Crédit Suisse, ... au suivant ?," LIDAM Reprints LFIN 2023005, Université catholique de Louvain, Louvain Finance (LFIN).
  13. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," LIDAM Reprints LFIN 2023009, Université catholique de Louvain, Louvain Finance (LFIN).
  14. 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).
  15. 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).
  16. 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).
  17. 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).
  18. 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).
  19. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
  20. Vrins, Frédéric & Wang, Linqi, 2021. "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN 2021006, Université catholique de Louvain, Louvain Finance (LFIN).
  21. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
  22. 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).
  23. 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).
  24. 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).
  25. 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).
  26. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
  27. 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.
  28. Vrins, Frédéric, 2019. "Advances in Credit Risk Modeling and Management," LIDAM Reprints LFIN 2019001, Université catholique de Louvain, Louvain Finance (LFIN).
  29. 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).
  30. 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).
  31. 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).
  32. Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN 2019003, Université catholique de Louvain, Louvain Finance (LFIN).
  33. Profeta, Christophe & Vrins, Frédéric, 2019. "Piecewise constant martingales and lazy clocks," LIDAM Reprints LFIN 2019004, Université catholique de Louvain, Louvain Finance (LFIN).
  34. 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).
  35. 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).
  36. 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).
  37. 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).
  38. Vrins, Frédéric, 2018. "Bannissement des produits dérivés: la bonne affaire ?," LIDAM Reprints LFIN 2018014, Université catholique de Louvain, Louvain Finance (LFIN).
  39. 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).
  40. 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).
  41. 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).
  42. 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).
  43. 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).
  44. 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).
  45. Fr'ed'eric Vrins, 2016. "Wrong-Way Risk Models: A Comparison of Analytical Exposures," Papers 1605.05100, arXiv.org.
  46. Fr'ed'eric Vrins & Monique Jeanblanc, 2016. "Conic Martingales from Stochastic Integrals," Papers 1603.07488, arXiv.org.
  47. 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.
  48. 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).
  49. Vrins, F. & Jeanblanc, M., 2015. "The [phi]-Martingale," LIDAM Discussion Papers CORE 2015022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  50. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," LIDAM Reprints LFIN 2013003, Université catholique de Louvain, Louvain Finance (LFIN).

Articles

  1. Vrins, Frédéric, 2026. "Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part," European Journal of Operational Research, Elsevier, vol. 329(1), pages 180-197.
  2. Germain, Arnaud & Vrins, Frédéric, 2026. "Credit selection in collateralized loan obligation: Efficient approximation through linearization and clustering," European Journal of Operational Research, Elsevier, vol. 330(1), pages 326-342.
  3. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2025. "The role of CDS spreads in explaining bond recovery rates," Journal of Banking & Finance, Elsevier, vol. 174(C).
  4. Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2025. "Business cycle and realized losses in the consumer credit industry," European Journal of Operational Research, Elsevier, vol. 323(3), pages 1024-1039.
  5. Nathan Lassance & Rodolphe Vanderveken & Frédéric Vrins, 2024. "On the Combination of Naive and Mean-Variance Portfolio Strategies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 875-889, July.
  6. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," Economic Modelling, Elsevier, vol. 125(C).
  7. Frédéric Vrins & Linqi Wang, 2023. "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 279-295, February.
  8. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
  9. 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.
  10. 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.
  11. Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," Risks, MDPI, vol. 10(6), pages 1-29, June.
  12. Nathan Lassance & Victor DeMiguel & Frédéric Vrins, 2022. "Optimal Portfolio Diversification via Independent Component Analysis," Operations Research, INFORMS, vol. 70(1), pages 55-72, January.
  13. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," Journal of Banking & Finance, Elsevier, vol. 126(C).
  14. 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.
  15. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
  16. 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.
  17. Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
  18. 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.
  19. 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.
  20. Frédéric Vrins, 2018. "Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint," Risks, MDPI, vol. 6(3), pages 1-13, June.
  21. 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.
  22. 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.
  23. Monique Jeanblanc & Frédéric Vrins, 2018. "Conic martingales from stochastic integrals," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 516-535, April.
  24. 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.
  25. Vrins, Frédéric, 2016. "Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 55-61.
  26. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 318-337.

    RePEc:rsk:journ1:2160699 is not listed on IDEAS
    RePEc:rsk:journ0:7952596 is not listed on IDEAS
    RePEc:rsk:journ1:2160733 is not listed on IDEAS

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..

More information

Research fields, statistics, top rankings, if available.

Statistics

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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 22 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 (17) 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 2024-11-04 2026-02-23 2026-02-23. Author is listed
  2. NEP-ECM: Econometrics (4) 2010-08-21 2020-10-12 2026-02-23 2026-02-23
  3. NEP-BIG: Big Data (3) 2020-10-12 2020-10-12 2020-10-12
  4. NEP-BAN: Banking (2) 2020-10-12 2024-11-04
  5. NEP-CMP: Computational Economics (2) 2020-10-12 2020-10-12
  6. NEP-FOR: Forecasting (2) 2020-10-12 2026-03-30
  7. NEP-CFN: Corporate Finance (1) 2022-10-31
  8. NEP-CWA: Central and Western Asia (1) 2022-02-28
  9. NEP-ETS: Econometric Time Series (1) 2016-03-17
  10. NEP-FDG: Financial Development and Growth (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
  14. NEP-UPT: Utility Models and Prospect Theory (1) 2026-02-23

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