Details about Frédéric Vrins

Access statistics for papers by Frédéric Vrins.

Last updated 2023-09-09. Update your information in the RePEc Author Service.

Short-id: pvr28

Working Papers

2023

1. Portfolio selection: A target-distribution approach
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (1)
   Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021)
   See also Journal Article Portfolio selection: A target-distribution approach, European Journal of Operational Research, Elsevier (2023) View citations (1) (2023)

2022

2. A general firm value model under partial information
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022)
3. Meta-Learning Approaches for Recovery Rate Prediction
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
   Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2020) View citations (2)
   See also Journal Article Meta-Learning Approaches for Recovery Rate Prediction, Risks, MDPI (2022) View citations (3) (2022)
4. On the optimal combination of naive and mean-variance portfolio strategies
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)

2021

5. Affine term structure models: a time-change approach with perfect fit to market curves
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in Papers, arXiv.org (2020) View citations (1)
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) View citations (1)
   See also Journal Article Affine term structure models: A time‐change approach with perfect fit to market curves, Mathematical Finance, Wiley Blackwell (2022) (2022)
6. Asymmetric short-rate model without lower bound
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   See also Journal Article Asymmetric short-rate model without lower bound, Quantitative Finance, Taylor & Francis Journals (2023) (2023)
7. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
8. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021)
9. Optimal Portfolio Diversification via Independent Component Analysis
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021) View citations (9)
   See also Journal Article Optimal Portfolio Diversification via Independent Component Analysis, Operations Research, INFORMS (2022) (2022)
10. Optimal and robust combination of forecasts via constrained optimization and shrinkage
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
    Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2020) View citations (5)
    See also Journal Article Optimal and robust combination of forecasts via constrained optimization and shrinkage, International Journal of Forecasting, Elsevier (2022) View citations (8) (2022)
11. Portfolio selection with parsimonious higher comoments estimation
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (13)
    See also Journal Article Portfolio selection with parsimonious higher comoments estimation, Journal of Banking & Finance, Elsevier (2021) View citations (11) (2021)

2020

12. Forecasting recovery rates on non-performing loans with machine learning
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
    Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2020)
    See also Journal Article Forecasting recovery rates on non-performing loans with machine learning, International Journal of Forecasting, Elsevier (2021) View citations (19) (2021)
13. Robust portfolio selection using sparse estimation of comoment tensors
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
    Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) View citations (1)

2019

14. Advances in Credit Risk Modeling and Management
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
15. Conditional survival probabilities under partial information: a recursive quantization approach with applications
    Papers, arXiv.org
16. Minimum Rényi entropy portfolios
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019) View citations (1)
    Papers, arXiv.org (2018) View citations (2)
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) View citations (1)
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) View citations (1)
    See also Journal Article Minimum Rényi entropy portfolios, Annals of Operations Research, Springer (2021) View citations (4) (2021)
17. Piecewise constant martingales and lazy clocks
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (1)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019) View citations (1)
18. Recovery rates: Uncertainty certainly matters
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (21)
    See also Journal Article Recovery rates: Uncertainty certainly matters, Journal of Banking & Finance, Elsevier (2019) View citations (18) (2019)
19. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1)
    See also Journal Article SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions, Stochastic Processes and their Applications, Elsevier (2020) (2020)

2018

20. A Comparison of Pricing and Hedging Performances of Equity Derivatives Models
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (3)
    See also Journal Article A comparison of pricing and hedging performances of equity derivatives models, Applied Economics, Taylor & Francis Journals (2018) View citations (3) (2018)
21. A subordinated CIR intensity model with application to Wrong-Way risk CVA
    Papers, arXiv.org View citations (3)
    Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2018) View citations (3)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018)
    See also Journal Article 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. (2018) View citations (3) (2018)
22. Bannissement des produits dérivés: la bonne affaire ?
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in Regards économiques, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2018)
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2018)
23. Conic martingales from stochastic integrals
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
    Also in Papers, arXiv.org (2016) View citations (1)
    See also Journal Article Conic martingales from stochastic integrals, Mathematical Finance, Wiley Blackwell (2018) View citations (7) (2018)
24. Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (17)
    Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2018) View citations (16)
    See also Journal Article Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures, European Journal of Operational Research, Elsevier (2018) View citations (20) (2018)
25. Extreme events and the cumulative distribution of net gains in gambling and structured products
    Post-Print, HAL
    Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2018)
    See also Journal Article Extreme events and the cumulative distribution of net gains in gambling and structured products, Applied Economics, Taylor & Francis Journals (2018) (2018)
26. Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
27. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (1)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (3)
    See also Journal Article Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint, Risks, MDPI (2018) View citations (3) (2018)
28. Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

2017

29. An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
30. Screening procrastinators with automatiic-renewal contracts
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
31. Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (6)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (6)
    See also Journal Article 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. (2017) View citations (6) (2017)

2016

32. Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
33. Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
    Papers, arXiv.org View citations (7)
34. Wrong-Way Risk Models: A Comparison of Analytical Exposures
    Papers, arXiv.org View citations (1)

2015

35. The [phi]-Martingale
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

2013

36. Sibuya copulas
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
    Also in Papers, arXiv.org (2010)
    See also Journal Article Sibuya copulas, Journal of Multivariate Analysis, Elsevier (2013) View citations (1) (2013)

Journal Articles

2023

1. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework
   Economic Modelling, 2023, 125, (C)
2. Asymmetric short-rate model without lower bound
   Quantitative Finance, 2023, 23, (2), 279-295
   See also Working Paper Asymmetric short-rate model without lower bound, LIDAM Discussion Papers LFIN (2021) (2021)
3. Portfolio selection: A target-distribution approach
   European Journal of Operational Research, 2023, 310, (1), 302-314 View citations (1)
   See also Working Paper Portfolio selection: A target-distribution approach, LIDAM Reprints LFIN (2023) View citations (1) (2023)

2022

4. Affine term structure models: A time‐change approach with perfect fit to market curves
   Mathematical Finance, 2022, 32, (2), 678-724
   See also Working Paper Affine term structure models: a time-change approach with perfect fit to market curves, LIDAM Reprints LFIN (2021) (2021)
5. Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage
   International Journal of Forecasting, 2022, 38, (3), 1050-1050 View citations (3)
6. Meta-Learning Approaches for Recovery Rate Prediction
   Risks, 2022, 10, (6), 1-29 View citations (3)
   See also Working Paper Meta-Learning Approaches for Recovery Rate Prediction, LIDAM Reprints LFIN (2022) View citations (3) (2022)
7. Optimal Portfolio Diversification via Independent Component Analysis
   Operations Research, 2022, 70, (1), 55-72
   See also Working Paper Optimal Portfolio Diversification via Independent Component Analysis, LIDAM Discussion Papers LFIN (2021) View citations (3) (2021)
8. Optimal and robust combination of forecasts via constrained optimization and shrinkage
   International Journal of Forecasting, 2022, 38, (1), 97-116 View citations (8)
   See also Working Paper Optimal and robust combination of forecasts via constrained optimization and shrinkage, LIDAM Reprints LFIN (2021) View citations (3) (2021)

2021

9. Forecasting recovery rates on non-performing loans with machine learning
   International Journal of Forecasting, 2021, 37, (1), 428-444 View citations (19)
   See also Working Paper Forecasting recovery rates on non-performing loans with machine learning, LIDAM Reprints LFIN (2020) (2020)
10. Minimum Rényi entropy portfolios
    Annals of Operations Research, 2021, 299, (1), 23-46 View citations (4)
    See also Working Paper Minimum Rényi entropy portfolios, LIDAM Reprints CORE (2019) View citations (1) (2019)
11. Portfolio selection with parsimonious higher comoments estimation
    Journal of Banking & Finance, 2021, 126, (C) View citations (11)
    See also Working Paper Portfolio selection with parsimonious higher comoments estimation, LIDAM Reprints LFIN (2021) View citations (13) (2021)

2020

12. SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions
    Stochastic Processes and their Applications, 2020, 130, (7), 3895-3919
    See also Working Paper SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions, LIDAM Reprints LFIN (2019) (2019)

2019

13. Recovery rates: Uncertainty certainly matters
    Journal of Banking & Finance, 2019, 106, (C), 371-383 View citations (18)
    See also Working Paper Recovery rates: Uncertainty certainly matters, LIDAM Reprints LFIN (2019) View citations (21) (2019)

2018

14. A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (07), 1-22 View citations (3)
    See also Working Paper A subordinated CIR intensity model with application to Wrong-Way risk CVA, Papers (2018) View citations (3) (2018)
15. A comparison of pricing and hedging performances of equity derivatives models
    Applied Economics, 2018, 50, (10), 1122-1137 View citations (3)
    See also Working Paper A Comparison of Pricing and Hedging Performances of Equity Derivatives Models, LIDAM Reprints LFIN (2018) View citations (3) (2018)
16. Conic martingales from stochastic integrals
    Mathematical Finance, 2018, 28, (2), 516-535 View citations (7)
    See also Working Paper Conic martingales from stochastic integrals, LIDAM Reprints CORE (2018) View citations (7) (2018)
17. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
    European Journal of Operational Research, 2018, 269, (3), 1154-1164 View citations (20)
    See also Working Paper Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures, LIDAM Reprints CORE (2018) View citations (17) (2018)
18. Extreme events and the cumulative distribution of net gains in gambling and structured products
    Applied Economics, 2018, 50, (58), 6285-6300
    See also Working Paper Extreme events and the cumulative distribution of net gains in gambling and structured products, Post-Print (2018) (2018)
19. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint
    Risks, 2018, 6, (3), 1-13 View citations (3)
    See also Working Paper Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint, LIDAM Reprints LFIN (2018) View citations (1) (2018)

2017

20. WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (07), 1-35 View citations (6)
    See also Working Paper Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics, LIDAM Reprints LFIN (2017) View citations (6) (2017)

2016

21. Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes
    Statistics & Probability Letters, 2016, 116, (C), 55-61

2013

22. Sibuya copulas
    Journal of Multivariate Analysis, 2013, 114, (C), 318-337 View citations (1)
    See also Working Paper Sibuya copulas, LIDAM Reprints LFIN (2013) View citations (3) (2013)

Chapters

2018

1. Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models
   Chapter 2 in Innovations in Insurance, Risk- and Asset Management, 2018, pp 27-45 View citations (6)