Access Statistics for Frédéric Vrins

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Pricing and Hedging Performances of Equity Derivatives Models 0 0 0 0 0 0 0 8
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 0 0 0 21
A general firm value model under partial information 0 0 0 9 1 1 2 10
A general firm-value model under partial information 0 0 0 0 1 2 4 13
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 1 8 1 3 6 26
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 1 1 2 9
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 2 2 5 22
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 0 0 0 0 0 2 8
Advances in Credit Risk Modeling and Management 0 0 0 0 0 2 3 11
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 1 2 3 11
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 0 1 3 42
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 1 1 1 13
An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES 0 0 0 0 1 2 2 12
Asymmetric short-rate model without lower bound 0 0 0 0 0 0 1 3
Asymmetric short-rate model without lower bound 0 0 0 10 1 2 2 11
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 1 27 0 1 6 72
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 1 4
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 1 0 0 1 11
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 0 7
Business cycle and realized losses in the consumer credit industry 0 1 1 2 1 3 3 6
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 1 2 3 11
Conditional survival probabilities under partial information: a recursive quantization approach with applications 0 0 0 4 0 1 1 11
Conic Martingales from Stochastic Integrals 0 0 0 3 3 3 4 20
Conic martingales from stochastic integrals 0 0 0 0 1 1 1 11
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering 0 0 5 7 2 2 9 11
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 2 2 2 32
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 0 1 14 6 11 13 46
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 0 4 6 24
European option pricing with model constrained Gaussian process regressions 0 0 2 3 1 2 8 11
European option pricing with model constrained Gaussian process regressions 0 0 4 4 1 1 8 11
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 1 1 2 6
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 2 2 2 2
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 31 0 2 3 46
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 1 2 7 30
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 1 1 2 18
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 0 2 4 4
Meta-learning approaches for recovery rate prediction 0 0 1 8 1 2 5 28
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 2 6 20 1 4 13 26
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 0 0 3 26
Minimum R\'enyi Entropy Portfolios 0 0 0 1 0 2 4 12
Minimum Rényi entropy portfolios 0 0 0 1 0 0 0 11
Minimum Rényi entropy portfolios 0 0 0 0 4 4 6 23
Minimum Rényi entropy portfolios 0 0 0 0 0 1 1 13
Minimum Rényi entropy portfolios 0 0 0 5 0 2 3 59
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 0 0 1 2 5 9
On the optimal combination of naive and mean-variance portfolio strategies 0 2 3 12 1 6 11 26
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 1 2 5 20
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 3 3 12
Optimal Portfolio Size under Parameter Uncertainty 0 0 2 3 1 3 6 11
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 2 21 0 2 4 33
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 1 1 3 8
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 2 8
Piecewise constant martingales and lazy clocks 0 0 0 0 0 1 3 5
Portfolio Selection: A Target-Distribution Approach 0 0 0 7 2 2 3 11
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 2 4 4 14
Portfolio selection: A target-distribution approach 0 0 0 0 0 1 1 6
Recovery rates: Uncertainty certainly matters 0 0 0 0 0 1 4 19
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 0 0 1 10
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 2 4 4 9
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 1 1 4 12
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 1 1 4 39
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 0 9
SVB, Crédit Suisse,... au suivant ? 0 0 0 0 0 0 1 7
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 0 0 1 11
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 0 0 0 7
Screening procrastinators with automatiic-renewal contracts 0 0 2 9 0 1 5 36
Sibuya copulas 0 0 0 39 0 1 3 75
Sibuya copulas 0 0 0 0 1 1 3 8
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 1 1 3 16
The [phi]-Martingale 0 0 1 14 1 5 8 61
The role of CDS spreads in explaining bond recovery rates 0 0 2 3 4 7 12 20
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 0 4 7 16
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 13 23 24 43
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 9 19 20 54
Total Working Papers 0 5 34 308 81 173 311 1,427

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA 0 0 0 1 0 1 3 22
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 0 0 3 27
A general firm value model under partial information 0 0 0 0 2 2 2 2
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 1 2 9 28 6 8 20 56
Affine term structure models: A time‐change approach with perfect fit to market curves 0 1 1 1 0 1 4 15
Analytical pricing of basket default swaps in a dynamic Hull-White framework 0 0 0 0 2 2 3 3
Asymmetric short-rate model without lower bound 0 0 1 1 0 1 2 7
Business cycle and realized losses in the consumer credit industry 0 0 1 1 0 3 6 6
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 0 2 2 3 4 16
Conic martingales from stochastic integrals 0 0 0 1 0 6 9 18
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 0 0 1 6
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 2 17 40 71 76 143
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 0 0 0 0 0 2 2 2
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 0 1 2 11
Forecasting recovery rates on non-performing loans with machine learning 0 1 7 33 7 16 37 165
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 2 1 3 4 7
Minimum Rényi entropy portfolios 0 0 0 7 1 2 7 38
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 1 5 5 0 2 7 8
Optimal Portfolio Diversification via Independent Component Analysis 0 0 1 2 1 2 4 9
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 4 2 3 4 23
Portfolio selection with parsimonious higher comoments estimation 0 0 0 5 1 1 2 32
Portfolio selection: A target-distribution approach 1 1 2 4 1 3 7 11
Recovery rates: Uncertainty certainly matters 1 2 3 25 2 3 7 95
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 1 4 0 0 2 12
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 0 1 2 37
Sibuya copulas 0 0 1 12 1 2 5 49
The role of CDS spreads in explaining bond recovery rates 0 4 4 4 0 4 7 7
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 1 1 10 1 2 3 54
Total Journal Articles 3 13 40 182 70 145 235 881

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models 0 0 0 9 1 1 2 28
Total Chapters 0 0 0 9 1 1 2 28

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-12-06