Access Statistics for Frédéric Vrins

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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 1 6 6 14
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 1 2 2 23
A general firm value model under partial information 0 0 0 9 0 4 5 14
A general firm-value model under partial information 0 0 0 0 1 5 8 18
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 1 8 0 5 10 31
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 1 3 10
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 4 9 26
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 0 0 0 1 6 8 14
Advances in Credit Risk Modeling and Management 0 0 0 0 0 1 4 12
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 0 5 8 16
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 0 0 2 42
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 1 4 5 17
An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES 0 0 0 0 0 1 3 13
Asymmetric short-rate model without lower bound 0 0 0 0 0 7 7 10
Asymmetric short-rate model without lower bound 0 0 0 10 2 8 10 19
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 1 27 2 5 9 77
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 4 4 8
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 1 0 3 3 14
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 1 4 4 11
Business cycle and realized losses in the consumer credit industry 0 0 1 2 1 5 8 11
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 1 2 5 13
Conditional survival probabilities under partial information: a recursive quantization approach with applications 0 0 0 4 0 1 2 12
Conic Martingales from Stochastic Integrals 0 0 0 3 0 0 3 20
Conic martingales from stochastic integrals 0 0 0 0 1 8 9 19
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering 0 1 1 8 0 2 5 13
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 0 5 7 37
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 1 1 2 15 1 8 20 54
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 5 14 19 38
European option pricing with model constrained Gaussian process regressions 1 1 3 5 3 7 12 18
European option pricing with model constrained Gaussian process regressions 1 1 3 4 3 6 14 17
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 1 2 4 4
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 3 4 9
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 1 9 14 39
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 31 3 10 12 56
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 1 6 8 24
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 1 2 4 6
Meta-learning approaches for recovery rate prediction 0 0 0 8 0 3 7 31
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 1 5 6 31
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 4 20 1 3 13 29
Minimum R\'enyi Entropy Portfolios 0 0 0 1 0 3 5 15
Minimum Rényi entropy portfolios 0 0 0 1 3 9 9 20
Minimum Rényi entropy portfolios 0 0 0 0 1 3 4 16
Minimum Rényi entropy portfolios 0 0 0 0 1 1 7 24
Minimum Rényi entropy portfolios 0 0 0 5 2 5 7 64
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 0 0 1 4 8 13
On the optimal combination of naive and mean-variance portfolio strategies 0 0 3 12 0 3 13 29
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 1 2 5 14
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 1 7 12 27
Optimal Portfolio Size under Parameter Uncertainty 1 1 1 4 1 5 10 16
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 21 3 9 12 42
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 0 4 6 12
Piecewise constant martingales and lazy clocks 0 0 0 0 2 3 3 11
Piecewise constant martingales and lazy clocks 0 0 0 0 1 4 7 9
Portfolio Selection: A Target-Distribution Approach 0 0 0 7 0 1 4 12
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 1 19 23 33
Portfolio selection: A target-distribution approach 0 0 0 0 2 5 6 11
Recovery rates: Uncertainty certainly matters 0 0 0 0 1 4 6 23
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 1 3 7 12
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 0 3 3 13
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 1 3 13
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 0 2 4 41
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 1 1 10
SVB, Crédit Suisse,... au suivant ? 0 0 0 0 1 4 5 11
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 0 4 5 15
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 0 9 9 16
Screening procrastinators with automatiic-renewal contracts 0 0 1 9 0 3 7 39
Sibuya copulas 0 0 0 39 0 1 2 76
Sibuya copulas 0 0 0 0 0 5 6 13
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 2 4 7 20
The [phi]-Martingale 0 0 0 14 2 5 12 66
The role of CDS spreads in explaining bond recovery rates 0 0 2 3 0 2 13 22
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 0 16 20 32
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 16 46 70 89
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 1 9 29 63
Total Working Papers 4 5 24 313 78 385 636 1,812

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 3 5 25
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 0 3 5 30
A general firm value model under partial information 0 0 0 0 0 2 4 4
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 1 8 29 1 13 30 69
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 1 1 0 4 8 19
Analytical pricing of basket default swaps in a dynamic Hull-White framework 0 0 0 0 2 7 9 10
Asymmetric short-rate model without lower bound 0 0 1 1 0 5 7 12
Business cycle and realized losses in the consumer credit industry 0 0 1 1 0 6 12 12
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 1 1 3 3 6 9 22
Conic martingales from stochastic integrals 0 0 0 1 0 0 6 18
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 1 3 3 9
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 1 1 3 18 1 36 110 179
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 0 0 0 0 1 3 5 5
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 0 4 6 15
Forecasting recovery rates on non-performing loans with machine learning 1 1 7 34 7 14 47 179
Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part 0 0 0 0 1 3 3 3
Meta-Learning Approaches for Recovery Rate Prediction 0 1 1 3 0 4 8 11
Minimum Rényi entropy portfolios 0 0 0 7 1 5 10 43
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 4 8 9 1 9 14 17
Optimal Portfolio Diversification via Independent Component Analysis 0 0 1 2 4 8 12 17
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 1 1 5 0 6 9 29
Portfolio selection with parsimonious higher comoments estimation 0 0 0 5 7 15 17 47
Portfolio selection: A target-distribution approach 1 1 2 5 1 6 12 17
Recovery rates: Uncertainty certainly matters 0 0 2 25 0 10 15 105
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 4 1 2 2 14
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 0 4 5 41
Sibuya copulas 0 0 1 12 0 3 7 52
The role of CDS spreads in explaining bond recovery rates 0 0 4 4 2 10 17 17
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 1 2 11 0 6 9 60
Total Journal Articles 3 12 44 194 34 200 406 1,081

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 0 3 5 31
Total Chapters 0 0 0 9 0 3 5 31

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