6
H index
3
i10 index
89
Citations
Frédéric Vrins : Citation Profile
Université Catholique de Louvain | RESEARCH PRODUCTION: 21 Articles 64 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2010 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Frédéric Vrins. | Is cited by:
| Cites to:
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Main data
Where Frédéric Vrins has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Forecasting | 3 |
| Applied Economics | 2 |
| European Journal of Operational Research | 2 |
| Mathematical Finance | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Risks | 2 |
| Journal of Banking & Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| LIDAM Reprints LFIN / Université catholique de Louvain, Louvain Finance (LFIN) | 22 |
| LIDAM Discussion Papers LFIN / Université catholique de Louvain, Louvain Finance (LFIN) | 14 |
| Papers / arXiv.org | 8 |
Recent works citing Frédéric Vrins (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318. Full description at Econpapers || Download paper |
| 2023 | Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420. Full description at Econpapers || Download paper |
| 2023 | Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434. Full description at Econpapers || Download paper |
| 2023 | Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311. Full description at Econpapers || Download paper |
| 2023 | CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834. Full description at Econpapers || Download paper |
| 2023 | Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512. Full description at Econpapers || Download paper |
| 2023 | The profitability of online loans: A competing risks analysis on default and prepayment. (2023). Yao, Xiao ; Bellotti, Anthony ; Li, Aimin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:968-985. Full description at Econpapers || Download paper |
| 2023 | Randomization and the valuation of guaranteed minimum death benefits. (2023). Hieber, Peter ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236. Full description at Econpapers || Download paper |
| 2023 | Too similar to combine? On negative weights in forecast combination. (2023). Wang, Wendun ; Vasnev, Andrey L ; Radchenko, Peter. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:18-38. Full description at Econpapers || Download paper |
| 2023 | Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x. Full description at Econpapers || Download paper |
| 2023 | The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis. (2023). Shouyang, Wang ; Yahan, Wang ; Fangcheng, Tang ; Kun, Guo ; Jiajia, Liu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:105-119. Full description at Econpapers || Download paper |
| 2023 | Short-selling and corporate default risk: Evidence from China. (2023). Wang, Song ; Li, Xinyu ; Huang, Haozheng ; Meng, Qingbin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:398-417. Full description at Econpapers || Download paper |
| 2023 | Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach. (2023). Fernandez-Aguado, Pilar Gomez ; Urea, Antonio Partal ; Gonzalez, Marta Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000338. Full description at Econpapers || Download paper |
| 2023 | Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles. (2023). Chen, Jau-er ; Chuang, Hui-Ching. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:6-:d:1068330. Full description at Econpapers || Download paper |
| 2023 | On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees. (2023). Boudreault, Mathieu ; Badescu, Alexandru ; Augustyniak, Maciej. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:112-:d:1065025. Full description at Econpapers || Download paper |
| 2023 | Stock market anomalies and machine learning across the globe. (2023). Mueller, Sebastian ; Kaiser, Georg Sebastian ; Azevedo, Vitor. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00318-z. Full description at Econpapers || Download paper |
| 2023 | Default Forecasting and Credit Valuation Adjustment. (2023). Lee, David. In: MPRA Paper. RePEc:pra:mprapa:118578. Full description at Econpapers || Download paper |
| 2023 | Extending the Merton model with applications to credit value adjustment. (2023). Sensoy, Ahmet ; Fabozzi, Frank J ; Hekimoglu, Alper A ; Akyildirim, Erdinc. In: Annals of Operations Research. RePEc:spr:annopr:v:326:y:2023:i:1:d:10.1007_s10479-023-05289-3. Full description at Econpapers || Download paper |
| 2023 | Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method. (2023). Zollner, Marvin ; Gurtler, Marc. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:45:y:2023:i:1:d:10.1007_s00291-022-00689-6. Full description at Econpapers || Download paper |
Works by Frédéric Vrins:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Minimum Rényi entropy portfolios In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Minimum Rényi entropy portfolios.(2019) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | Minimum R\enyi Entropy Portfolios.(2018) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2019 | Minimum Rényi entropy portfolios.(2019) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2019 | Minimum Rényi entropy portfolios.(2019) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2021 | Minimum Rényi entropy portfolios.(2021) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2019 | Affine term-structure models: A time-changed approach with perfect fit to market curves In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Affine term structure models: a time-change approach with perfect fit to market curves.(2021) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2020 | Affine term structure models : a time-changed approach with perfect fit to market curves.(2020) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | Affine term structure models: A time?change approach with perfect fit to market curves.(2022) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2019 | Robust portfolio selection using sparse estimation of comoment tensors In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Robust portfolio selection using sparse estimation of comoment tensors.(2020) In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2020 | Forecasting recovery rates on non-performing loans with machine learning In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 11 |
| 2020 | Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2021 | Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2020 | Optimal and robust combination of forecasts via constrained optimization and shrinkage In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 7 |
| 2021 | Optimal and robust combination of forecasts via constrained optimization and shrinkage.(2021) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2022 | Optimal and robust combination of forecasts via constrained optimization and shrinkage.(2022) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2020 | Meta-learning approaches for recovery rate prediction In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: Risks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2021 | Portfolio Selection: A Target-Distribution Approach In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Portfolio selection: A target-distribution approach.(2023) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Portfolio selection: A target-distribution approach.(2023) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Asymmetric short-rate model without lower bound In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Asymmetric short-rate model without lower bound.(2023) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?.(2021) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Optimal Portfolio Diversification via Independent Component Analysis In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 5 |
| 2021 | Optimal Portfolio Diversification via Independent Component Analysis.(2021) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2022 | On the optimal combination of naive and mean-variance portfolio strategies In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A general firm value model under partial information In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A general firm-value model under partial information.(2022) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2013 | Sibuya copulas In: LIDAM Reprints LFIN. [Citation analysis] | paper | 3 |
| 2010 | Sibuya copulas.(2010) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2013 | Sibuya copulas.(2013) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2017 | Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2017 | Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint In: LIDAM Reprints LFIN. [Citation analysis] | paper | 1 |
| 2018 | Sampling the multivariate standard normal distribution under a weighted sum constraint.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint.(2018) In: Risks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2018 | Extreme events and the cumulative distribution of net gains in gambling and structured products In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2018 | Extreme events and the cumulative distribution of net gains in gambling and structured products.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Extreme events and the cumulative distribution of net gains in gambling and structured products.(2018) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN. [Citation analysis] | paper | 16 |
| 2018 | Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2018 | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2018 | Bannissement des produits dérivés: la bonne affaire ? In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2018 | Bannissement des produits dérivés : la bonne affaire ?.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Bannissement des produits dérivés : la bonne affaire ?.(2018) In: Regards économiques. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | A subordinated CIR intensity model with application to wrong-way risk CVA In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2018 | A subordinated CIR intensity model with application to Wrong-Way risk CVA.(2018) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | A surbordinated CIR intensity model with application to wrong-way risk CVA.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | A Comparison of Pricing and Hedging Performances of Equity Derivatives Models In: LIDAM Reprints LFIN. [Citation analysis] | paper | 3 |
| 2018 | A comparison of pricing and hedging performances of equity derivatives models.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | A comparison of pricing and hedging performances of equity derivatives models.(2018) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2019 | Advances in Credit Risk Modeling and Management In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2019 | Piecewise constant martingales and lazy clocks In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2019 | Piecewise constant martingales and lazy clocks.(2019) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Recovery rates: Uncertainty certainly matters In: LIDAM Reprints LFIN. [Citation analysis] | paper | 12 |
| 2019 | Recovery rates: Uncertainty certainly matters.(2019) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2019 | SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2016 | SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2019) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2020) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Portfolio selection with parsimonious higher comoments estimation In: LIDAM Reprints LFIN. [Citation analysis] | paper | 9 |
| 2021 | Portfolio selection with parsimonious higher comoments estimation.(2021) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2016 | Conic Martingales from Stochastic Integrals In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Conic martingales from stochastic integrals.(2018) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2018 | Conic martingales from stochastic integrals.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Wrong-Way Risk Models: A Comparison of Analytical Exposures In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Conditional survival probabilities under partial information: a recursive quantization approach with applications In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | The [phi]-Martingale In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Screening procrastinators with automatiic-renewal contracts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2017 | An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2018 | Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2018 | Stochastic recovery rate: Impact of pricing measures choice and financial consequences on single-name products In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2023 | Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2022 | Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2016 | Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2018 | Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 6 |
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