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 0 1 6 14
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 1 3 4 25
A general firm value model under partial information 0 0 0 9 5 5 10 19
A general firm-value model under partial information 0 0 0 0 2 3 9 20
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 1 8 4 6 16 37
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 1 2 5 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 1 2 8 15
Advances in Credit Risk Modeling and Management 0 0 0 0 2 2 6 14
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 1 2 9 18
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 5 5 7 47
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 1 2 6 18
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 1 8 11
Asymmetric short-rate model without lower bound 0 0 0 10 2 4 12 21
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 1 27 3 6 11 81
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 3 14
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 1 2 5 12
Business cycle and realized losses in the consumer credit industry 0 0 1 2 4 5 12 15
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 2 3 6 15
Conditional survival probabilities under partial information: a recursive quantization approach with applications 0 0 0 4 7 7 9 19
Conic Martingales from Stochastic Integrals 0 0 0 3 2 2 5 22
Conic martingales from stochastic integrals 0 0 0 0 1 3 11 21
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering 0 0 1 8 3 3 7 16
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 1 1 8 38
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 2 3 16 3 5 24 58
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 2 10 24 43
European option pricing with model constrained Gaussian process regressions 0 1 3 4 1 4 13 18
European option pricing with model constrained Gaussian process regressions 0 1 2 5 4 9 16 24
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 2 2 6 11
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 1 4 4
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 1 4 15 42
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 31 5 8 17 61
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 3 4 11 27
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 2 3 6 8
Meta-learning approaches for recovery rate prediction 0 0 0 8 1 1 7 32
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 4 20 2 3 14 31
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 2 3 8 33
Minimum R\'enyi Entropy Portfolios 0 0 0 1 1 3 8 18
Minimum Rényi entropy portfolios 0 0 0 0 0 2 8 25
Minimum Rényi entropy portfolios 0 0 0 0 3 5 8 20
Minimum Rényi entropy portfolios 0 0 0 5 1 5 10 67
Minimum Rényi entropy portfolios 0 0 0 1 4 7 13 24
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 0 0 0 1 2 9 14
On the optimal combination of naive and mean-variance portfolio strategies 0 0 3 12 2 3 16 32
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 5 8 12 21
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 4 6 17 32
Optimal Portfolio Size under Parameter Uncertainty 0 1 1 4 2 3 12 18
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 1 1 7 13
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 21 2 6 15 45
Piecewise constant martingales and lazy clocks 0 0 0 0 0 2 3 11
Piecewise constant martingales and lazy clocks 0 0 0 0 0 1 6 9
Portfolio Selection: A Target-Distribution Approach 0 0 0 7 2 2 6 14
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 0 1 23 33
Portfolio selection: A target-distribution approach 0 0 0 0 0 2 6 11
Recovery rates: Uncertainty certainly matters 0 0 0 0 1 2 7 24
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 2 2 5 15
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 2 3 9 14
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 2 2 6 43
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 4 11
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 0 0 5 15
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 1 1 10 17
Screening procrastinators with automatiic-renewal contracts 0 0 1 9 4 4 10 43
Sibuya copulas 0 0 0 0 0 0 6 13
Sibuya copulas 0 0 0 39 2 2 4 78
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 1 3 8 21
The [phi]-Martingale 0 0 0 14 2 4 12 68
The role of CDS spreads in explaining bond recovery rates 0 0 1 3 2 3 14 25
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 1 5 25 37
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 1 29 83 102
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 5 8 36 70
Total Working Papers 0 5 23 314 131 255 791 1,989

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 7 28
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 1 2 7 32
A general firm value model under partial information 0 0 0 0 3 3 7 7
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 1 1 8 30 4 8 35 76
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 1 1 4 5 10 24
Analytical pricing of basket default swaps in a dynamic Hull-White framework 0 0 0 0 2 6 13 14
Asymmetric short-rate model without lower bound 0 0 1 1 1 2 9 14
Business cycle and realized losses in the consumer credit industry 0 0 1 1 6 6 18 18
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 1 3 1 4 10 23
Conic martingales from stochastic integrals 0 0 0 1 2 2 8 20
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 0 1 3 9
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 1 2 3 19 5 6 114 184
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation 0 0 0 0 0 2 6 6
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 3 3 9 18
Forecasting recovery rates on non-performing loans with machine learning 0 1 6 34 4 13 49 185
Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part 0 1 1 1 2 5 7 7
Meta-Learning Approaches for Recovery Rate Prediction 0 0 1 3 4 4 12 15
Minimum Rényi entropy portfolios 0 0 0 7 1 6 15 48
On the Combination of Naive and Mean-Variance Portfolio Strategies 0 1 8 10 1 3 15 19
Optimal Portfolio Diversification via Independent Component Analysis 0 0 1 2 2 6 13 19
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 5 1 3 12 32
Portfolio selection with parsimonious higher comoments estimation 0 0 0 5 5 17 26 57
Portfolio selection: A target-distribution approach 0 1 2 5 1 2 12 18
Recovery rates: Uncertainty certainly matters 0 0 2 25 2 3 18 108
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 4 2 3 4 16
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 8 10 15 51
Sibuya copulas 0 0 0 12 3 3 9 55
The role of CDS spreads in explaining bond recovery rates 0 0 4 4 8 11 25 26
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 0 2 11 4 7 16 67
Total Journal Articles 2 7 43 198 83 149 504 1,196

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 5 10 36
Total Chapters 0 0 0 9 2 5 10 36

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Statistics updated 2026-05-06