Frédéric Vrins : Citation Profile

Université Catholique de Louvain

6

H index

5

i10 index

119

Citations

RESEARCH PRODUCTION:

22

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2010 - 2023). See details.
   Cites by year: 9
   Journals where Frédéric Vrins has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 20 (14.39 %)

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   Permalink: http://citec.repec.org/pvr28
   Updated: 2025-04-12    RAS profile: 2023-09-09    
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Relations with other researchers

Works with:

Roccazzella, Francesco (6)

Brigo, Damiano (4)

Lassance, Nathan (4)

Barbagli, Matteo (2)

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 (7)

Barbagli, Matteo (5)

Candelon, Bertrand (3)

Hafner, Christian (2)

Lassance, Nathan (2)

cotter, john (2)

Conlon, Thomas (2)

Stentoft, Lars (1)

Xie, Tian (1)

Fenech, Jean-Pierre (1)

Cites to:

Brigo, Damiano (14)

Uppal, Raman (9)

Fabozzi, Frank (9)

bloom, nicholas (7)

Ledoit, Olivier (7)

Wolf, Michael (7)

Kerstens, Kristiaan (7)

merton, robert (6)

Baker, Scott (6)

Davis, Steven (6)

Duffie, Darrell (5)

Main data

Production by document typepaperchapterarticle201020112012201320142015201620172018201920202021202220230102030Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published201020112012201320142015201620172018201920202021202220230255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received201520162017201820192020202120222023202420250102030Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year201020112012201320142015201620172018201920202021202220230204060Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 6Most cited documents1234567801020Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402.557.5h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Frédéric Vrins has published?

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

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024The role of CDS spreads in explaining bond recovery rates. (2024). Vrins, Frederic ; Gauthier, Genevieve ; Franois, Pascal ; Barbagli, Matteo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024002.

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

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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). , 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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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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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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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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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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Works by Frédéric Vrins:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019Minimum Rényi entropy portfolios In: LIDAM Discussion Papers LFIN.
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2019Minimum Rényi entropy portfolios.(2019) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2018Minimum R\enyi Entropy Portfolios.(2018) In: Papers.
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This paper has nother version. Agregated cites: 5		paper
2019Minimum Rényi entropy portfolios.(2019) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 5		paper
2019Minimum Rényi entropy portfolios.(2019) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2021Minimum Rényi entropy portfolios.(2021) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 5		article
2019Affine term-structure models: A time-changed approach with perfect fit to market curves In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper1
2021Affine 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
2020Affine term structure models : a time-changed approach with perfect fit to market curves.(2020) In: Papers.
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This paper has nother version. Agregated cites: 1		paper
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper19
2020Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 19		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: 19		article
2020Optimal and robust combination of forecasts via constrained optimization and shrinkage In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper12
2021Optimal and robust combination of forecasts via constrained optimization and shrinkage.(2021) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 12		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: 12		article
2020Meta-learning approaches for recovery rate prediction In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper5
2022Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2022Meta-Learning Approaches for Recovery Rate Prediction.(2022) In: Risks.
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This paper has nother version. Agregated cites: 5		article
2021Portfolio Selection: A Target-Distribution Approach In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper1
2023Portfolio selection: A target-distribution approach.(2023) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
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		article
2021Asymmetric short-rate model without lower bound In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper0
2023Asymmetric short-rate model without lower bound.(2023) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 0		article
2021Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper0
2021Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper0
2021Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?.(2021) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 0		paper
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: 7		paper
2022Optimal Portfolio Diversification via Independent Component Analysis.(2022) In: Operations Research.
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This paper has nother version. Agregated cites: 7		article
2022On the optimal combination of naive and mean-variance portfolio strategies In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper0
2022A general firm value model under partial information In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper0
2022A general firm-value model under partial information.(2022) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2013Sibuya copulas In: LIDAM Reprints LFIN.
[Citation analysis]		paper3
2010Sibuya copulas.(2010) In: Papers.
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This paper has nother version. Agregated cites: 3		paper
2013Sibuya copulas.(2013) In: Journal of Multivariate Analysis.
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This paper has nother version. Agregated cites: 3		article
2017Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2017Wrong-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
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.
[Citation analysis]		paper1
2018Sampling 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
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		article
2018Extreme events and the cumulative distribution of net gains in gambling and structured products In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2018Extreme events and the cumulative distribution of net gains in gambling and structured products.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
2018Extreme events and the cumulative distribution of net gains in gambling and structured products.(2018) In: Applied Economics.
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This paper has nother version. Agregated cites: 0		article
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN.
[Citation analysis]		paper18
2018Disentangling 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: 18		paper
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 18		article
2018Bannissement des produits dérivés: la bonne affaire ? In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2018Bannissement des produits dérivés : la bonne affaire ?.(2018) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 0		paper
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.
[Citation analysis]		paper0
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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This paper has nother version. Agregated cites: 0		paper
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.
[Citation analysis]		paper3
2018A 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
2018A comparison of pricing and hedging performances of equity derivatives models.(2018) In: Applied Economics.
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This paper has nother version. Agregated cites: 3		article
2019Advances in Credit Risk Modeling and Management In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2019Piecewise constant martingales and lazy clocks In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2019Piecewise constant martingales and lazy clocks.(2019) In: LIDAM Reprints CORE.
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2019Recovery rates: Uncertainty certainly matters In: LIDAM Reprints LFIN.
[Citation analysis]		paper16
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.
[Citation analysis]		paper0
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.
[Citation analysis]		paper12
2021Portfolio selection with parsimonious higher comoments estimation.(2021) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 12		article
2016Conic Martingales from Stochastic Integrals In: Papers.
[Full Text][Citation analysis]		paper1
2018Conic martingales from stochastic integrals.(2018) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 1		article
2018Conic martingales from stochastic integrals.(2018) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 1		paper
2016Wrong-Way Risk Models: A Comparison of Analytical Exposures In: Papers.
[Full Text][Citation analysis]		paper0
2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers.
[Full Text][Citation analysis]		paper4
2019Conditional survival probabilities under partial information: a recursive quantization approach with applications In: Papers.
[Full Text][Citation analysis]		paper0
2015The [phi]-Martingale In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2017Screening procrastinators with automatiic-renewal contracts In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
2016Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes In: LIDAM Reprints CORE.
[Citation analysis]		paper0
2017An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES In: LIDAM Reprints CORE.
[Citation analysis]		paper0
2018Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence In: LIDAM Reprints CORE.
[Citation analysis]		paper0
2018Stochastic recovery rate: Impact of pricing measures choice and financial consequences on single-name products In: LIDAM Reprints CORE.
[Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article3
2016Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2018Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter6

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