Access Statistics for Frédéric Vrins

Author contact details at EconPapers.

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 0 0 8
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 0 0 0 0 21
A general firm value model under partial information 0 0 0 9 0 0 2 9
A general firm-value model under partial information 0 0 0 0 0 0 4 11
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 0 7 0 0 2 21
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 1 2 8
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 0 0 17
Advances in Credit Risk Modeling and Management 0 0 0 0 1 1 2 9
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 0 0 1 9
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 0 0 3 40
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 0 0 1 12
An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES 0 0 0 0 0 0 0 10
Asymmetric short-rate model without lower bound 0 0 0 10 0 0 1 9
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 0 26 0 0 5 70
Bannissement des produits dérivés: la bonne affaire ? 0 0 1 1 0 0 3 11
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 1 7
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 1 4
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 0 0 2 9
Conditional survival probabilities under partial information: a recursive quantization approach with applications 0 0 0 4 0 0 0 10
Conic Martingales from Stochastic Integrals 0 0 0 3 0 0 1 17
Conic martingales from stochastic integrals 0 0 0 0 0 0 0 10
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 0 0 0 30
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 1 1 14 0 1 2 35
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 0 1 4 20
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 0 0
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 1 5
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 0 3 6 28
Forecasting recovery rates on non-performing loans with machine learning 0 0 1 31 0 0 3 44
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 0 0 1 16
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 0 0 2 2
Meta-learning approaches for recovery rate prediction 0 0 1 8 0 1 6 26
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 0 1 7 26
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 2 4 18 1 5 14 22
Minimum R\'enyi Entropy Portfolios 0 0 0 1 0 0 2 10
Minimum Rényi entropy portfolios 0 0 0 0 1 1 2 18
Minimum Rényi entropy portfolios 0 0 0 0 0 0 1 12
Minimum Rényi entropy portfolios 0 0 0 5 0 0 3 57
Minimum Rényi entropy portfolios 0 0 0 1 0 0 0 11
On the optimal combination of naive and mean-variance portfolio strategies 0 0 0 9 0 0 7 16
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 0 1 2 16
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 0 1 9
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 1 1 2 7
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 20 0 0 3 30
Piecewise constant martingales and lazy clocks 0 0 0 0 0 1 1 3
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 2 8
Portfolio Selection: A Target-Distribution Approach 0 0 1 7 0 0 1 8
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 0 0 0 10
Portfolio selection: A target-distribution approach 0 0 0 0 0 0 2 5
Recovery rates: Uncertainty certainly matters 0 0 0 0 0 0 3 17
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 0 0 1 5
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 0 0 2 10
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 2 10
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 0 0 2 37
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 0 9
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 0 1 1 1 11
Sampling the multivariate standard normal distribution under a weighted sum constraint 0 0 0 0 0 0 0 7
Screening procrastinators with automatiic-renewal contracts 0 1 5 9 0 2 8 34
Sibuya copulas 0 0 0 39 0 0 2 74
Sibuya copulas 0 0 0 0 0 0 2 7
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 1 1 1 14
The [phi]-Martingale 0 0 1 14 0 1 3 56
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 0 0 3 12
Wrong-Way Risk Models: A Comparison of Analytical Exposures 0 0 0 19 0 0 0 19
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 0 0 0 34
Total Working Papers 0 4 16 278 6 23 136 1,152

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 1 4 21
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 0 0 1 25
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 2 10 23 1 3 18 43
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 0 0 0 0 4 14
Asymmetric short-rate model without lower bound 0 1 1 1 0 1 2 6
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 1 2 0 0 3 13
Conic martingales from stochastic integrals 0 0 1 1 0 0 5 12
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 0 0 2 6
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 2 4 17 1 3 7 72
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 0 0 0 9
Forecasting recovery rates on non-performing loans with machine learning 1 2 7 30 3 7 24 142
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 2 1 1 1 4
Minimum Rényi entropy portfolios 0 0 0 7 3 3 5 36
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 1 0 1 4 6
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 4 0 0 2 20
Portfolio selection with parsimonious higher comoments estimation 0 0 1 5 0 0 3 31
Portfolio selection: A target-distribution approach 0 0 2 3 1 1 4 7
Recovery rates: Uncertainty certainly matters 0 0 1 23 0 0 4 90
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 1 4 0 0 3 12
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 0 0 1 36
Sibuya copulas 0 1 1 12 0 1 3 46
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 0 0 9 0 0 0 51
Total Journal Articles 1 8 31 158 10 22 100 702

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 1 9 0 0 2 26
Total Chapters 0 0 1 9 0 0 2 26

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Statistics updated 2025-07-04