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Details about Frédéric Vrins

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Homepage:https://uclouvain.be/fr/repertoires/frederic.vrins
Workplace:Louvain Finance, Louvain Institute of data Analysis and Modelling in Economics and Statistics (LIDAM), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)

Access statistics for papers by Frédéric Vrins.

Last updated 2020-11-30. Update your information in the RePEc Author Service.

Short-id: pvr28


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Working Papers

2020

  1. Affine term structure models: a time-changed approach with perfect fit to market curves
    Papers, arXiv.org Downloads View citations (1)
    Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) Downloads
  2. Forecasting recovery rates on non-performing loans with machine learning
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) Downloads
    See also Journal Article in International Journal of Forecasting (2021)
  3. Meta-learning approaches for recovery rate prediction
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) Downloads
  4. Optimal and robust combination of forecasts via constrained optimization and shrinkage
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) Downloads View citations (2)
  5. Robust portfolio selection using sparse estimation of comoment tensors
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) Downloads
    Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) Downloads

2019

  1. Conditional survival probabilities under partial information: a recursive quantization approach with applications
    Papers, arXiv.org Downloads
  2. Minimum Rényi entropy portfolios
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) Downloads
    Also in Papers, arXiv.org (2018) Downloads View citations (2)
    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) (2019) Downloads
  3. Piecewise constant martingales and lazy clocks
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
  4. SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) Downloads View citations (1)

    See also Journal Article in Stochastic Processes and their Applications (2020)

2018

  1. A comparison of pricing and hedging performances of equity derivatives models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Applied Economics (2018)
  2. A subordinated CIR intensity model with application to Wrong-Way risk CVA
    Papers, arXiv.org Downloads View citations (2)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018)

    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
  3. 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) Downloads
  4. Conic martingales from stochastic integrals
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    Also in Papers, arXiv.org (2016) Downloads View citations (1)

    See also Journal Article in Mathematical Finance (2018)
  5. 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 (4)
    See also Journal Article in European Journal of Operational Research (2018)
  6. Extreme events and the cumulative distribution of net gains in gambling and structured products
    Post-Print, HAL
    See also Journal Article in Applied Economics (2018)
  7. 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)
  8. Sampling the multivariate standard normal distribution under a weighted sum constraint
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Risks (2018)
  9. 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)

2017

  1. 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)
  2. Screening procrastinators with automatiic-renewal contracts
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2017)

2016

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

2015

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

2010

  1. Sibuya copulas
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Multivariate Analysis (2013)

Journal Articles

2021

  1. Forecasting recovery rates on non-performing loans with machine learning
    International Journal of Forecasting, 2021, 37, (1), 428-444 Downloads
    See also Working Paper (2020)

2020

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

2019

  1. Recovery rates: Uncertainty certainly matters
    Journal of Banking & Finance, 2019, 106, (C), 371-383 Downloads View citations (3)

2018

  1. 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 Downloads View citations (2)
    See also Working Paper (2018)
  2. A comparison of pricing and hedging performances of equity derivatives models
    Applied Economics, 2018, 50, (10), 1122-1137 Downloads
    See also Working Paper (2018)
  3. Conic martingales from stochastic integrals
    Mathematical Finance, 2018, 28, (2), 516-535 Downloads View citations (3)
    See also Working Paper (2018)
  4. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
    European Journal of Operational Research, 2018, 269, (3), 1154-1164 Downloads View citations (4)
    See also Working Paper (2018)
  5. Extreme events and the cumulative distribution of net gains in gambling and structured products
    Applied Economics, 2018, 50, (58), 6285-6300 Downloads
    See also Working Paper (2018)
  6. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint
    Risks, 2018, 6, (3), 1-13 Downloads
    See also Working Paper (2018)

2017

  1. 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 Downloads View citations (5)
    See also Working Paper (2017)

2016

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

2013

  1. Sibuya copulas
    Journal of Multivariate Analysis, 2013, 114, (C), 318-337 Downloads View citations (1)
    See also Working Paper (2010)

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 Downloads
 
Page updated 2021-02-26