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 1 7 15
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 0 1 4 25
A general firm value model under partial information 0 0 0 9 0 5 10 19
A general firm-value model under partial information 0 0 0 0 0 2 9 20
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 1 8 0 4 16 37
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 1 4 12
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 0 9 26
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 0 0 0 0 2 8 16
Advances in Credit Risk Modeling and Management 0 0 0 0 0 2 5 14
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 0 1 9 18
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 0 6 8 48
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 0 2 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 0 3 13 22
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 1 27 0 3 11 81
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 1 0 2 5 16
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 0 0 1 5 12
Business cycle and realized losses in the consumer credit industry 0 0 1 2 1 6 14 17
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 0 2 6 15
Conditional survival probabilities under partial information: a recursive quantization approach with applications 0 0 0 4 0 7 9 19
Conic Martingales from Stochastic Integrals 0 0 0 3 0 2 5 22
Conic martingales from stochastic integrals 0 0 0 0 0 1 11 21
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering 0 0 1 8 0 3 7 16
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 0 1 8 38
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 1 1 3 17 3 7 27 62
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 0 3 24 44
European option pricing with model constrained Gaussian process regressions 0 0 1 5 0 4 14 24
European option pricing with model constrained Gaussian process regressions 0 0 1 4 0 2 11 19
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 4 4
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 2 6 11
Forecasting recovery rates on non-performing loans with machine learning 1 1 1 32 1 6 18 62
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 0 1 14 42
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 0 3 11 27
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 0 2 6 8
Meta-learning approaches for recovery rate prediction 0 0 0 8 0 3 8 34
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 2 20 0 4 11 33
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 0 2 7 33
Minimum R\'enyi Entropy Portfolios 0 0 0 1 0 2 9 19
Minimum Rényi entropy portfolios 0 0 0 0 0 3 8 20
Minimum Rényi entropy portfolios 0 0 0 5 0 2 11 68
Minimum Rényi entropy portfolios 0 0 0 0 0 0 7 25
Minimum Rényi entropy portfolios 0 0 0 1 0 4 13 24
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 0 0 0 1 9 14
On the optimal combination of naive and mean-variance portfolio strategies 0 0 3 12 1 4 18 34
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 0 5 17 33
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 6 13 22
Optimal Portfolio Size under Parameter Uncertainty 0 0 1 4 0 2 10 18
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 21 0 2 15 45
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 1 3 8 15
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 6 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 0 2 6 14
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 0 1 24 34
Portfolio selection: A target-distribution approach 0 0 0 0 0 1 7 12
Recovery rates: Uncertainty certainly matters 0 0 0 0 0 1 7 24
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 0 2 9 14
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 0 2 5 15
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 3 13
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 1 3 7 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 1 1 5 12
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 0 2 6 17
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 0 1 10 17
Screening procrastinators with automatiic-renewal contracts 0 0 0 9 0 4 9 43
Sibuya copulas 0 0 0 39 0 3 5 79
Sibuya copulas 0 0 0 0 0 1 7 14
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 0 2 8 22
The [phi]-Martingale 0 0 0 14 0 3 13 69
The role of CDS spreads in explaining bond recovery rates 0 0 0 3 0 3 13 26
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 2 3 27 39
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 0 4 86 105
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 0 5 36 70
Total Working Papers 2 2 17 316 12 175 807 2,033

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 7 28
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 0 5 11 36
A general firm value model under partial information 0 0 0 0 0 3 7 7
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 1 7 30 1 5 34 77
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 1 1 0 5 11 25
Analytical pricing of basket default swaps in a dynamic Hull-White framework 0 1 1 1 0 3 14 15
Asymmetric short-rate model without lower bound 0 0 0 1 1 2 9 15
Business cycle and realized losses in the consumer credit industry 0 0 0 1 1 7 16 19
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 1 3 0 1 10 23
Conic martingales from stochastic integrals 0 0 0 1 0 3 9 21
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 0 1 4 10
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 2 4 5 22 2 11 118 190
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 0 0 0 0 0 0 6 6
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 0 3 9 18
Forecasting recovery rates on non-performing loans with machine learning 1 1 5 35 2 11 50 192
Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part 0 0 1 1 0 2 7 7
Meta-Learning Approaches for Recovery Rate Prediction 0 0 1 3 0 4 11 15
Minimum Rényi entropy portfolios 0 0 0 7 1 5 16 52
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 7 10 0 1 14 19
Optimal Portfolio Diversification via Independent Component Analysis 0 0 1 2 0 2 13 19
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 5 2 4 15 35
Portfolio selection with parsimonious higher comoments estimation 0 0 0 5 0 5 26 57
Portfolio selection: A target-distribution approach 0 0 2 5 0 1 11 18
Recovery rates: Uncertainty certainly matters 0 0 2 25 0 3 19 109
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 4 0 2 4 16
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 1 10 17 53
Sibuya copulas 0 0 0 12 0 3 9 55
The role of CDS spreads in explaining bond recovery rates 0 0 4 4 0 8 25 26
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 0 2 11 0 4 16 67
Total Journal Articles 3 7 41 203 11 117 518 1,230

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 2 10 36
Total Chapters 0 0 0 9 0 2 10 36

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