Frédéric Vrins : Citation Profile


Are you Frédéric Vrins?

Université Catholique de Louvain

6

H index

4

i10 index

99

Citations

RESEARCH PRODUCTION:

21

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2010 - 2023). See details.
   Cites by year: 7
   Journals where Frédéric Vrins has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 20 (16.81 %)

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   Permalink: http://citec.repec.org/pvr28
   Updated: 2024-04-18    RAS profile: 2023-09-09    
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Relations with other researchers


Works with:

Roccazzella, Francesco (6)

Brigo, Damiano (6)

Lassance, Nathan (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Frédéric Vrins.

Is cited by:

Ramponi, Alessandro (7)

Vasnev, Andrey (6)

Candelon, Bertrand (3)

Hafner, Christian (2)

Lassance, Nathan (2)

cotter, john (2)

Conlon, Thomas (2)

Lee, David (1)

Fenech, Jean-Pierre (1)

Shi, Zhentao (1)

Pallavicini, Andrea (1)

Cites to:

Fabozzi, Frank (9)

Uppal, Raman (9)

Brigo, Damiano (8)

Wolf, Michael (7)

bloom, nicholas (7)

Ledoit, Olivier (7)

Kerstens, Kristiaan (7)

Davis, Steven (6)

Baker, Scott (6)

merton, robert (6)

Duffie, Darrell (5)

Main data


Where Frédéric Vrins has published?


Journals with more than one article published# docs
International Journal of Forecasting3
Journal of Banking & Finance2
European Journal of Operational Research2
Applied Economics2
Mathematical Finance2
Risks2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)22
LIDAM Discussion Papers LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)14
Papers / arXiv.org8

Recent works citing Frédéric Vrins (2024 and 2023)


YearTitle of citing document
2024A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868.

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2024Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2023Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420.

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2023Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434.

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2023Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311.

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2023CVA 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.

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2023Semiparametric 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.

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2023The 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.

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2023Randomization 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.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2023Too 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.

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2023Predicting 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.

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2023The 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.

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2023Short-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.

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2023Forecasting 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.

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2023Exploring 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.

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2023On 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.

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2023Stock 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.

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2023Default Forecasting and Credit Valuation Adjustment. (2023). Lee, David. In: MPRA Paper. RePEc:pra:mprapa:118578.

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2023Extending 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.

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2023Heterogeneities 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.

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Works by Frédéric Vrins:


YearTitleTypeCited
2019Minimum Rényi entropy portfolios In: LIDAM Discussion Papers LFIN.
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2019Minimum Rényi entropy portfolios.(2019) In: LIDAM Reprints LFIN.
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paper
2018Minimum R\enyi Entropy Portfolios.(2018) In: Papers.
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2019Minimum Rényi entropy portfolios.(2019) In: LIDAM Discussion Papers CORE.
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2019Minimum Rényi entropy portfolios.(2019) In: LIDAM Reprints CORE.
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paper
2021Minimum Rényi entropy portfolios.(2021) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 4
article
2019Affine term-structure models: A time-changed approach with perfect fit to market curves In: LIDAM Discussion Papers LFIN.
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paper1
2021Affine term structure models: a time-change approach with perfect fit to market curves.(2021) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 1
paper
2020Affine term structure models : a time-changed approach with perfect fit to market curves.(2020) In: Papers.
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2022Affine term structure models: A time?change approach with perfect fit to market curves.(2022) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 1
article
2019Robust portfolio selection using sparse estimation of comoment tensors In: LIDAM Discussion Papers LFIN.
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paper1
2020Robust portfolio selection using sparse estimation of comoment tensors.(2020) In: LIDAM Discussion Papers LFIN.
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This paper has nother version. Agregated cites: 1
paper
2020Forecasting recovery rates on non-performing loans with machine learning In: LIDAM Discussion Papers LFIN.
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2020Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 12
paper
2021Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 12
article
2020Optimal and robust combination of forecasts via constrained optimization and shrinkage In: LIDAM Discussion Papers LFIN.
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2021Optimal and robust combination of forecasts via constrained optimization and shrinkage.(2021) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 8
paper
2022Optimal and robust combination of forecasts via constrained optimization and shrinkage.(2022) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 8
article
2020Meta-learning approaches for recovery rate prediction In: LIDAM Discussion Papers LFIN.
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2022Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 4
paper
2022Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: Risks.
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This paper has nother version. Agregated cites: 4
article
2021Portfolio Selection: A Target-Distribution Approach In: LIDAM Discussion Papers LFIN.
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2023Portfolio selection: A target-distribution approach.(2023) In: LIDAM Reprints LFIN.
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2023Portfolio selection: A target-distribution approach.(2023) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 1
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2021Asymmetric short-rate model without lower bound In: LIDAM Discussion Papers LFIN.
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2023Asymmetric short-rate model without lower bound.(2023) In: Quantitative Finance.
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2021Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default In: LIDAM Discussion Papers LFIN.
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2021Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? In: LIDAM Discussion Papers LFIN.
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2021Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?.(2021) In: LIDAM Reprints LFIN.
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2021Optimal Portfolio Diversification via Independent Component Analysis In: LIDAM Discussion Papers LFIN.
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2021Optimal Portfolio Diversification via Independent Component Analysis.(2021) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 6
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2022On the optimal combination of naive and mean-variance portfolio strategies In: LIDAM Discussion Papers LFIN.
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2022A general firm value model under partial information In: LIDAM Discussion Papers LFIN.
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2022A general firm-value model under partial information.(2022) In: LIDAM Reprints LFIN.
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2013Sibuya copulas In: LIDAM Reprints LFIN.
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2010Sibuya copulas.(2010) In: Papers.
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2013Sibuya copulas.(2013) In: Journal of Multivariate Analysis.
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2017Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics In: LIDAM Reprints LFIN.
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2017Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics.(2017) In: LIDAM Reprints CORE.
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2017WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2018Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint In: LIDAM Reprints LFIN.
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2018Sampling the multivariate standard normal distribution under a weighted sum constraint.(2018) In: LIDAM Reprints CORE.
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2018Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint.(2018) In: Risks.
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This paper has nother version. Agregated cites: 1
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2018Extreme events and the cumulative distribution of net gains in gambling and structured products In: LIDAM Reprints LFIN.
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2018Extreme events and the cumulative distribution of net gains in gambling and structured products.(2018) In: Post-Print.
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2018Extreme events and the cumulative distribution of net gains in gambling and structured products.(2018) In: Applied Economics.
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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN.
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2018Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures.(2018) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 16
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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research.
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2018Bannissement des produits dérivés: la bonne affaire ? In: LIDAM Reprints LFIN.
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2018Bannissement des produits dérivés : la bonne affaire ?.(2018) In: LIDAM Reprints CORE.
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2018Bannissement des produits dérivés : la bonne affaire ?.(2018) In: Regards économiques.
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2018A subordinated CIR intensity model with application to wrong-way risk CVA In: LIDAM Reprints LFIN.
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2018A subordinated CIR intensity model with application to Wrong-Way risk CVA.(2018) In: Papers.
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2018A surbordinated CIR intensity model with application to wrong-way risk CVA.(2018) In: LIDAM Reprints CORE.
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2018A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2018A Comparison of Pricing and Hedging Performances of Equity Derivatives Models In: LIDAM Reprints LFIN.
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2018A comparison of pricing and hedging performances of equity derivatives models.(2018) In: LIDAM Reprints CORE.
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2018A comparison of pricing and hedging performances of equity derivatives models.(2018) In: Applied Economics.
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2019Advances in Credit Risk Modeling and Management In: LIDAM Reprints LFIN.
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2019Piecewise constant martingales and lazy clocks In: LIDAM Reprints LFIN.
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2019Piecewise constant martingales and lazy clocks.(2019) In: LIDAM Reprints CORE.
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2019Recovery rates: Uncertainty certainly matters In: LIDAM Reprints LFIN.
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2019Recovery rates: Uncertainty certainly matters.(2019) In: Journal of Banking & Finance.
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2019SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions In: LIDAM Reprints LFIN.
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2016SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.(2016) In: LIDAM Discussion Papers CORE.
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2019SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2019) In: LIDAM Reprints CORE.
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2020SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2020) In: Stochastic Processes and their Applications.
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2021Portfolio selection with parsimonious higher comoments estimation In: LIDAM Reprints LFIN.
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2021Portfolio selection with parsimonious higher comoments estimation.(2021) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 10
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2016Conic Martingales from Stochastic Integrals In: Papers.
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2018Conic martingales from stochastic integrals.(2018) In: Mathematical Finance.
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2018Conic martingales from stochastic integrals.(2018) In: LIDAM Reprints CORE.
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2016Wrong-Way Risk Models: A Comparison of Analytical Exposures In: Papers.
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2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers.
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2019Conditional survival probabilities under partial information: a recursive quantization approach with applications In: Papers.
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2015The [phi]-Martingale In: LIDAM Discussion Papers CORE.
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2017Screening procrastinators with automatiic-renewal contracts In: LIDAM Discussion Papers CORE.
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2016Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes In: LIDAM Reprints CORE.
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2017An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES In: LIDAM Reprints CORE.
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2018Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence In: LIDAM Reprints CORE.
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2018Stochastic recovery rate: Impact of pricing measures choice and financial consequences on single-name products In: LIDAM Reprints CORE.
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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework In: Economic Modelling.
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2022Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage In: International Journal of Forecasting.
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2016Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes In: Statistics & Probability Letters.
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2018Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models In: World Scientific Book Chapters.
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