Frédéric Vrins : Citation Profile

Université Catholique de Louvain

7

H index

5

i10 index

135

Citations

RESEARCH PRODUCTION:

30

Articles

74

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2010 - 2025). See details.
   Cites by year: 9
   Journals where Frédéric Vrins has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 24 (15.09 %)

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   Permalink: http://citec.repec.org/pvr28
   Updated: 2025-12-13    RAS profile: 2025-10-10    
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Relations with other researchers

Works with:

Roccazzella, Francesco (7)

Brigo, Damiano (4)

Lassance, Nathan (4)

Barbagli, Matteo (4)

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

Is cited by:

Vasnev, Andrey (8)

Ramponi, Alessandro (7)

Candelon, Bertrand (6)

cotter, john (4)

Conlon, Thomas (4)

Hafner, Christian (2)

Lassance, Nathan (2)

Ballotta, Laura (1)

Zoia, Maria (1)

Crispino, Marta (1)

Rodrigues, Paulo (1)

Cites to:

Brigo, Damiano (16)

Fabozzi, Frank (15)

bloom, nicholas (9)

Uppal, Raman (9)

Davis, Steven (8)

Baker, Scott (8)

Kerstens, Kristiaan (7)

Ledoit, Olivier (7)

Wolf, Michael (7)

Duffie, Darrell (6)

Roccazzella, Francesco (5)

Main data

Where Frédéric Vrins has published?

Journals with more than one article published# docs
International Journal of Forecasting4
European Journal of Operational Research4
Journal of Banking & Finance3
Mathematical Finance2
Applied Economics2
Journal of Credit Risk2
International Journal of Theoretical and Applied Finance (IJTAF)2
Risks2

Working Papers Series with more than one paper published# docs
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)26
LIDAM Discussion Papers LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)19
Papers / arXiv.org8

Recent works citing Frédéric Vrins (2026 and 2025)

YearTitle of citing document
2025Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution. (2024). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868.

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2024Flexible global forecast combinations. (2024). Vasnev, Andrey ; Qian, Yilin ; Thompson, Ryan. In: Papers. RePEc:arx:papers:2207.07318.

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2025Robust Elicitable Functionals. (2025). Pesenti, Silvana M ; Miao, Kathleen E. In: Papers. RePEc:arx:papers:2409.04412.

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2024Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103.

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2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2025How does the structure of an interest expense cap change the tax benefits of debt?. (2025). Bhanot, Karan ; Franois, Pascal ; Kadapakkam, Palani-Rajan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s092911992500015x.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). Rodrigues, 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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2025Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2024A drift-aware dynamic ensemble model with two-stage member selection for carbon price forecasting. (2024). Hu, Huanling ; Zeng, Liling ; Zhang, Dabin ; Lin, Ruibin ; Song, Qingkui. In: Energy. RePEc:eee:energy:v:313:y:2024:i:c:s0360544224034777.

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2024Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach. (2024). Xu, Peng. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924003004.

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2024Improved estimation of the correlation matrix using reinforcement learning and text-based networks. (2024). Simaan, Majeed ; Ndiaye, Papa Momar ; Lu, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040.

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2024Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953.

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2024Tail mean-variance portfolio selection with estimation risk. (2024). Huang, Zhenzhen ; Wei, Pengyu ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234.

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2024A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management. (2024). Lee, Jaewook ; Ko, Hyungjin ; Son, Bumho. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000155.

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2024Interpretable machine learning for creditor recovery rates. (2024). Fabozzi, Frank J ; Nazemi, Abdolreza. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:164:y:2024:i:c:s0378426624001043.

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2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

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2024Flexible global forecast combinations. (2024). Vasnev, Andrey ; Qian, Yilin ; Thompson, Ryan. In: Omega. RePEc:eee:jomega:v:126:y:2024:i:c:s0305048324000409.

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2024Modeling dynamic higher-order comoments for portfolio selection based on copula approach. (2024). Ke, Rui ; Yang, Dong ; Wang, Yanfeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006609.

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2024Functional clustering of NPLs recovery curves. (2024). Rocci, Roberto ; Carleo, Alessandra. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002179.

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2024Decentralized Data and Artificial Intelligence Orchestration for Transparent and Efficient Small and Medium-Sized Enterprises Trade Financing. (2024). Hoffman, William ; Zabihi, Paria ; Alirezaie, Marjan ; Rahnama, Hossein ; Pentland, Alex. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:38-:d:1321383.

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2025Credit Card Default Prediction: An Empirical Analysis on Predictive Performance Using Statistical and Machine Learning Methods. (2025). Bhandary, Rakshith ; Ghosh, Bidyut Kumar. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:23-:d:1562935.

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2024Chinas business cycle forecasting: a machine learning approach. (2024). Tang, Pan ; Zhang, Yuwei. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10549-w.

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2025Bank non-performing loans research around the world. (2025). Ozili, Peterson. In: MPRA Paper. RePEc:pra:mprapa:125217.

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2024Proxying credit curves via Wasserstein distances. (2024). Spreij, Peter ; Khedher, Asma ; Michielon, Matteo. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04552-3.

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2024On cumulative residual extropy of coherent and mixed systems. (2024). Chakraborty, Siddhartha ; Pradhan, Biswabrata. In: Annals of Operations Research. RePEc:spr:annopr:v:340:y:2024:i:1:d:10.1007_s10479-023-05727-2.

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2025Integrating multiple sources of ordinal information in portfolio optimization. (2025). Ela, Eranda ; Hafner, Stephan ; Mestel, Roland ; Pferschy, Ulrich. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:3:d:10.1007_s10479-025-06495-x.

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2025Computing XVA for American basket derivatives by machine learning techniques. (2025). Goudenge, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00540-7.

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2024Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market. (2024). Damato, Valeria ; Forte, Salvatore ; Fersini, Paola ; Carannante, Maria ; Melisi, Giuseppe. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00635-y.

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2025Privacy and security in mobile technology: A bibliometric analysis for marketing strategies. (2025). Foued, Ben Said ; el Euch, Koubaa ; Rim, Jallouli. In: Management & Marketing. RePEc:vrs:manmar:v:20:y:2025:i:3:p:28-47:n:1005.

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2024A Quantitative Analysis of Default Risk Using Machine Learning and SHAP Value Interpretation. (2024). Coralia, Tanasuica Zotic. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:18:y:2024:i:1:p:233-245:n:1006.

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2024Tail risk forecasting and its application to margin requirements in the commodity futures market. (2024). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1513-1529.

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2025Evaluating Inflation Forecasts in the Euro Area and the Role of the ECB. (2025). Candelon, Bertrand ; Roccazzella, Francesco. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:3:p:978-1008.

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Works by Frédéric Vrins:

YearTitleTypeCited
2024European option pricing with model constrained Gaussian process regressions In: LIDAM Discussion Papers ISBA.
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2024European option pricing with model constrained Gaussian process regressions.(2024) In: LIDAM Discussion Papers LFIN.
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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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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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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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2021Affine term structure models: a time-change approach with perfect fit to market curves.(2021) In: LIDAM Reprints LFIN.
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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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2020Robust portfolio selection using sparse estimation of comoment tensors.(2020) In: LIDAM Discussion Papers LFIN.
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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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2021Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting.
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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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2022Optimal and robust combination of forecasts via constrained optimization and shrinkage.(2022) In: International Journal of Forecasting.
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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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2022Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: Risks.
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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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2021Asymmetric short-rate model without lower bound In: LIDAM Discussion Papers LFIN.
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2024Asymmetric short-rate model without lower bound.(2024) In: LIDAM Reprints 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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2022Optimal Portfolio Diversification via Independent Component Analysis.(2022) In: Operations Research.
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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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A general firm value model under partial information.() In: Journal of Computational Finance.
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2023Business cycle and realized losses in the consumer credit industry In: LIDAM Discussion Papers LFIN.
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2025Business cycle and realized losses in the consumer credit industry.(2025) In: European Journal of Operational Research.
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2024The role of CDS spreads in explaining bond recovery rates In: LIDAM Discussion Papers LFIN.
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2025The role of CDS spreads in explaining bond recovery rates.(2025) In: Journal of Banking & Finance.
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2024Optimal Portfolio Size under Parameter Uncertainty In: LIDAM Discussion Papers LFIN.
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2024Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering In: LIDAM Discussion Papers 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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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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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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2023SVB, Crédit Suisse, ... au suivant ? In: LIDAM Reprints LFIN.
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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework In: LIDAM Reprints LFIN.
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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework.(2023) In: Economic Modelling.
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2023On the Combination of Naive and Mean-Variance Portfolio Strategies In: LIDAM Reprints LFIN.
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2024On the Combination of Naive and Mean-Variance Portfolio Strategies.(2024) In: Journal of Business & Economic Statistics.
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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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