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 1 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 1 1 9 0 2 2 7
A general firm-value model under partial information 0 0 0 0 2 4 4 9
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 0 2 7 0 2 4 20
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 1 2 6
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 1 5 17
Advances in Credit Risk Modeling and Management 0 0 0 0 0 0 0 7
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 0 1 2 8
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 0 1 2 37
Affine term-structure models: A time-changed approach with perfect fit to market curves 0 0 0 1 0 1 2 11
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 1 10 0 0 1 8
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default 0 0 7 26 1 1 16 66
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 1 1 3
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 0 6
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 1 1 2 9
Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes 0 0 0 0 0 0 0 7
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 0 16
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 1 1 30
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 0 0 13 0 1 1 33
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 1 2 12 17
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 1 4
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 0 0 0 0 0
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 0 1 3 22
Forecasting recovery rates on non-performing loans with machine learning 0 1 1 30 0 2 3 41
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 1 1 2 16
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 0 0 0 0
Meta-learning approaches for recovery rate prediction 0 0 0 7 0 1 2 21
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 14 1 1 2 9
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 1 2 5 21
Minimum R\'enyi Entropy Portfolios 0 0 0 1 0 0 0 8
Minimum Rényi entropy portfolios 0 0 0 5 0 0 3 54
Minimum Rényi entropy portfolios 0 0 0 1 0 0 0 11
Minimum Rényi entropy portfolios 0 0 0 0 1 1 2 17
Minimum Rényi entropy portfolios 0 0 0 0 1 1 2 12
On the optimal combination of naive and mean-variance portfolio strategies 0 0 0 9 2 3 5 12
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 0 1 8
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 0 1 3 14
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 1 19 0 0 2 27
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 0 1 3 5
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 1 2
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 1 6
Portfolio Selection: A Target-Distribution Approach 0 1 1 7 0 1 3 8
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 0 0 2 10
Portfolio selection: A target-distribution approach 0 0 0 0 1 2 5 5
Recovery rates: Uncertainty certainly matters 0 0 0 0 0 0 2 14
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 0 0 0 0 4
Robust portfolio selection using sparse estimation of comoment tensors 0 0 0 1 0 0 1 8
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 3 8
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 0 0 0 35
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 0 0 1 10
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 1 1 1 5 1 1 1 27
Sibuya copulas 0 0 0 0 0 0 0 5
Sibuya copulas 0 0 0 39 0 0 0 72
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 0 1 3 13
The [phi]-Martingale 0 0 1 13 0 0 1 53
Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics 0 0 0 0 0 1 2 9
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 3 5 34
Total Working Papers 1 4 16 264 14 45 128 1,036

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 1 17
A comparison of pricing and hedging performances of equity derivatives models 0 0 3 8 0 1 6 24
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 2 9 14 16 4 13 27 31
Affine term structure models: A time‐change approach with perfect fit to market curves 0 0 0 0 0 1 3 10
Asymmetric short-rate model without lower bound 0 0 0 0 0 0 0 4
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 0 1 1 1 3 11
Conic martingales from stochastic integrals 0 0 0 0 0 1 1 8
Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 1 0 0 1 4
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 1 1 1 14 1 2 4 66
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 1 1 0 0 1 9
Forecasting recovery rates on non-performing loans with machine learning 1 3 7 25 2 7 22 123
Meta-Learning Approaches for Recovery Rate Prediction 0 1 1 2 0 1 1 3
Minimum Rényi entropy portfolios 0 0 1 7 0 0 10 31
Optimal Portfolio Diversification via Independent Component Analysis 0 1 1 1 0 3 4 4
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 3 0 0 2 18
Portfolio selection with parsimonious higher comoments estimation 0 1 1 4 0 1 3 28
Portfolio selection: A target-distribution approach 0 1 2 2 0 1 4 4
Recovery rates: Uncertainty certainly matters 0 0 4 22 0 3 12 87
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 3 0 0 1 9
Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint 0 0 0 3 0 0 0 35
Sibuya copulas 0 1 1 11 0 1 2 43
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 0 1 9 0 2 4 51
Total Journal Articles 4 18 38 134 8 39 112 620

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 1 3 9 1 3 6 26
Total Chapters 0 1 3 9 1 3 6 26

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Statistics updated 2024-09-04