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 3 5 5 13
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 1 1 1 22
A general firm value model under partial information 0 0 0 9 2 5 5 14
A general firm-value model under partial information 0 0 0 0 2 5 7 17
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 1 8 3 6 10 31
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 1 2 3 10
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 4 6 9 26
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 0 0 0 2 5 7 13
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 4 6 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 2 4 4 16
An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES 0 0 0 0 1 2 3 13
Asymmetric short-rate model without lower bound 0 0 0 0 3 7 8 10
Asymmetric short-rate model without lower bound 0 0 0 10 3 7 8 17
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 1 27 2 3 8 75
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 2 3 3 10
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 1 3 3 3 14
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 2 4 5 8
Business cycle and realized losses in the consumer credit industry 0 0 1 2 2 5 7 10
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 1 2 4 12
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 3 4 20
Conic martingales from stochastic integrals 0 0 0 0 4 8 8 18
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering 1 1 1 8 2 4 6 13
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 3 7 7 37
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 0 1 14 7 13 20 53
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 9 9 15 33
European option pricing with model constrained Gaussian process regressions 0 0 2 3 2 4 11 14
European option pricing with model constrained Gaussian process regressions 0 0 2 4 2 5 10 15
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 3 3 3
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 3 4 5 9
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 31 5 7 10 53
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 6 9 15 38
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 2 6 7 23
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 1 1 5 5
Meta-learning approaches for recovery rate prediction 0 0 1 8 2 4 8 31
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 2 4 6 30
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 4 20 1 3 12 28
Minimum R\'enyi Entropy Portfolios 0 0 0 1 2 3 7 15
Minimum Rényi entropy portfolios 0 0 0 0 0 4 6 23
Minimum Rényi entropy portfolios 0 0 0 1 6 6 6 17
Minimum Rényi entropy portfolios 0 0 0 0 2 2 3 15
Minimum Rényi entropy portfolios 0 0 0 5 3 3 5 62
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 0 0 1 4 8 12
On the optimal combination of naive and mean-variance portfolio strategies 0 0 3 12 3 4 13 29
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 1 4 13
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 2 7 11 26
Optimal Portfolio Size under Parameter Uncertainty 0 0 0 3 3 5 9 15
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 2 5 7 12
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 2 21 5 6 10 39
Piecewise constant martingales and lazy clocks 0 0 0 0 2 3 6 8
Piecewise constant martingales and lazy clocks 0 0 0 0 1 1 3 9
Portfolio Selection: A Target-Distribution Approach 0 0 0 7 1 3 4 12
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 9 20 22 32
Portfolio selection: A target-distribution approach 0 0 0 0 3 3 4 9
Recovery rates: Uncertainty certainly matters 0 0 0 0 2 3 6 22
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 2 4 6 11
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 2 3 3 13
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 1 2 4 13
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 2 3 6 41
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 1 1 1 10
SVB, Crédit Suisse,... au suivant ? 0 0 0 0 2 3 4 10
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 2 4 5 15
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 4 9 9 16
Screening procrastinators with automatiic-renewal contracts 0 0 1 9 3 3 7 39
Sibuya copulas 0 0 0 39 1 1 3 76
Sibuya copulas 0 0 0 0 3 6 6 13
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 2 3 5 18
The [phi]-Martingale 0 0 1 14 2 4 11 64
The role of CDS spreads in explaining bond recovery rates 0 0 2 3 1 6 13 22
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 16 16 21 32
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 7 43 54 73
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 4 17 28 62
Total Working Papers 1 1 23 309 196 388 588 1,734

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 3 3 5 25
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 2 3 6 30
A general firm value model under partial information 0 0 0 0 0 4 4 4
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 1 2 9 29 10 18 30 68
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 1 1 4 4 8 19
Analytical pricing of basket default swaps in a dynamic Hull-White framework 0 0 0 0 5 7 8 8
Asymmetric short-rate model without lower bound 0 0 1 1 1 5 7 12
Business cycle and realized losses in the consumer credit industry 0 0 1 1 6 6 12 12
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 1 1 1 3 2 5 6 19
Conic martingales from stochastic integrals 0 0 0 1 0 0 8 18
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 2 2 3 8
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 2 17 2 75 110 178
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 0 0 0 0 2 2 4 4
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 3 4 6 15
Forecasting recovery rates on non-performing loans with machine learning 0 0 7 33 4 14 42 172
Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part 0 0 0 0 2 2 2 2
Meta-Learning Approaches for Recovery Rate Prediction 0 1 1 3 2 5 8 11
Minimum Rényi entropy portfolios 0 0 0 7 4 5 9 42
On the Combination of Naive and Mean-Variance Portfolio Strategies 3 4 8 9 6 8 14 16
Optimal Portfolio Diversification via Independent Component Analysis 0 0 1 2 2 5 8 13
Optimal and robust combination of forecasts via constrained optimization and shrinkage 1 1 1 5 5 8 9 29
Portfolio selection with parsimonious higher comoments estimation 0 0 0 5 6 9 10 40
Portfolio selection: A target-distribution approach 0 1 2 4 2 6 12 16
Recovery rates: Uncertainty certainly matters 0 1 3 25 6 12 16 105
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 1 4 1 1 2 13
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 3 4 5 41
Sibuya copulas 0 0 1 12 2 4 7 52
The role of CDS spreads in explaining bond recovery rates 0 0 4 4 4 8 15 15
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 1 1 2 11 3 7 9 60
Total Journal Articles 7 12 46 191 94 236 385 1,047

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 2 4 5 31
Total Chapters 0 0 0 9 2 4 5 31

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Statistics updated 2026-02-12