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 14 16 22 30
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 0 0 4 25
A general firm value model under partial information 0 0 0 9 0 0 10 19
A general firm-value model under partial information 0 0 0 0 0 0 9 20
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 0 8 1 1 15 38
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 0 4 12
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 1 1 7 27
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 0 0 0 0 0 8 16
Advances in Credit Risk Modeling and Management 0 0 0 0 1 1 6 15
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 0 0 9 18
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 1 1 8 49
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 0 0 7 19
An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES 0 0 0 0 0 0 3 13
Asymmetric short-rate model without lower bound 0 0 0 0 0 0 8 11
Asymmetric short-rate model without lower bound 0 0 0 10 1 1 14 23
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 0 27 1 1 11 82
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 4 8
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 1 0 0 5 16
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 5 12
Business cycle and realized losses in the consumer credit industry 0 0 1 2 0 1 14 17
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 1 1 7 16
Conditional survival probabilities under partial information: a recursive quantization approach with applications 0 0 0 4 1 1 10 20
Conic Martingales from Stochastic Integrals 0 0 0 3 0 1 6 23
Conic martingales from stochastic integrals 0 0 0 0 1 1 12 22
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering 0 0 1 8 1 1 8 17
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 0 0 8 38
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 1 3 17 2 5 29 64
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 1 1 25 45
European option pricing with model constrained Gaussian process regressions 0 0 1 5 1 1 15 25
European option pricing with model constrained Gaussian process regressions 0 0 1 4 0 0 10 19
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 6 11
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 4 4
Forecasting recovery rates on non-performing loans with machine learning 1 2 2 33 2 3 20 64
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 1 1 15 43
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 0 0 10 27
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 2 2 8 10
Meta-learning approaches for recovery rate prediction 0 0 0 8 0 0 8 34
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 2 20 0 0 11 33
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 0 0 7 33
Minimum R\'enyi Entropy Portfolios 0 0 0 1 1 1 10 20
Minimum Rényi entropy portfolios 0 0 0 0 1 1 9 21
Minimum Rényi entropy portfolios 0 0 0 1 0 1 14 25
Minimum Rényi entropy portfolios 0 0 0 0 2 2 8 27
Minimum Rényi entropy portfolios 0 0 0 5 0 0 11 68
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 0 0 0 1 8 15
On the optimal combination of naive and mean-variance portfolio strategies 0 0 2 12 0 2 15 35
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 0 13 22
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 0 0 15 33
Optimal Portfolio Size under Parameter Uncertainty 0 0 1 4 1 2 12 20
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 0 1 8 15
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 21 0 0 14 45
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 5 9
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 3 11
Portfolio Selection: A Target-Distribution Approach 0 0 0 7 1 1 6 15
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 0 0 24 34
Portfolio selection: A target-distribution approach 0 0 0 0 0 0 7 12
Recovery rates: Uncertainty certainly matters 0 0 0 0 1 1 7 25
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 0 1 10 15
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 1 2 7 17
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 2 13
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 0 1 6 44
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 1 10
SVB, Crédit Suisse,... au suivant ? 0 0 0 0 0 1 5 12
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 0 0 6 17
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 1 1 11 18
Screening procrastinators with automatiic-renewal contracts 0 0 0 9 0 0 8 43
Sibuya copulas 0 0 0 39 1 2 7 81
Sibuya copulas 0 0 0 0 0 0 7 14
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 0 0 7 22
The [phi]-Martingale 1 1 1 15 1 1 14 70
The role of CDS spreads in explaining bond recovery rates 0 0 0 3 0 1 14 27
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 0 2 27 39
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 0 2 87 107
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 0 0 35 70
Total Working Papers 2 4 15 318 44 68 835 2,089

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 0 7 28
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 0 0 9 36
A general firm value model under partial information 0 0 0 0 0 0 7 7
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 0 4 30 1 2 30 78
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 1 1 0 0 11 25
Analytical pricing of basket default swaps in a dynamic Hull-White framework 0 0 1 1 0 0 14 15
Asymmetric short-rate model without lower bound 0 0 0 1 0 2 10 16
Business cycle and realized losses in the consumer credit industry 1 1 1 2 1 2 17 20
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 1 3 0 0 10 23
Conic martingales from stochastic integrals 0 0 0 1 0 0 9 21
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 0 2 6 12
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 2 5 22 1 19 135 207
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 0 0 0 0 0 1 7 7
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 1 2 10 20
Forecasting recovery rates on non-performing loans with machine learning 2 3 5 37 17 19 60 209
Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part 0 0 1 1 0 0 7 7
Meta-Learning Approaches for Recovery Rate Prediction 0 0 1 3 1 2 13 17
Minimum Rényi entropy portfolios 0 1 1 8 2 4 19 55
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 1 7 11 1 3 16 22
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 2 3 4 16 23
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 5 1 4 17 37
Portfolio selection with parsimonious higher comoments estimation 0 0 0 5 0 2 28 59
Portfolio selection: A target-distribution approach 0 0 2 5 1 2 12 20
Recovery rates: Uncertainty certainly matters 0 0 2 25 1 1 18 110
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 4 0 0 4 16
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 0 1 17 53
Sibuya copulas 0 0 0 12 0 0 8 55
The role of CDS spreads in explaining bond recovery rates 0 0 4 4 1 1 24 27
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 0 2 11 0 1 16 68
Total Journal Articles 3 8 39 208 32 74 557 1,293

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 0 9 36
Total Chapters 0 0 0 9 0 0 9 36

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