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 2 11
A subordinated CIR intensity model with application to Wrong-Way risk CVA 0 1 1 8 0 2 3 23
A subordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 0 2 8
A surbordinated CIR intensity model with application to wrong-way risk CVA 0 0 0 0 0 3 3 20
Advances in Credit Risk Modeling and Management 0 0 0 0 1 1 2 10
Affine term structure models: a time-change approach with perfect fit to market curves 0 0 0 0 1 1 2 10
Affine term structure models: a time-changed approach with perfect fit to market curves 0 0 0 7 0 1 3 41
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 1 1 1 11
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 1 1 27 1 2 6 72
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 1 4
Bannissement des produits dérivés: la bonne affaire ? 0 0 0 0 0 0 1 7
Bannissement des produits dérivés: la bonne affaire ? 0 0 1 1 0 0 2 11
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 0 1 14 0 0 2 35
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 0 0 3 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 31 0 0 2 44
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 0 0 6 28
Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence 0 0 0 0 0 1 1 17
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 0 1 1 3 3
Meta-learning approaches for recovery rate prediction 0 0 1 8 0 0 4 26
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 4 18 0 0 11 22
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? 0 0 0 0 0 0 5 26
Minimum R\'enyi Entropy Portfolios 0 0 0 1 0 0 2 10
Minimum Rényi entropy portfolios 0 0 0 5 0 0 1 57
Minimum Rényi entropy portfolios 0 0 0 0 0 1 2 19
Minimum Rényi entropy portfolios 0 0 0 1 0 0 0 11
Minimum Rényi entropy portfolios 0 0 0 0 0 0 0 12
On the optimal combination of naive and mean-variance portfolio strategies 1 2 2 11 2 6 9 22
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 7 0 0 0 9
Optimal Portfolio Diversification via Independent Component Analysis 0 0 0 0 1 3 4 19
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 0 0 0 0 0 2 7
Optimal and robust combination of forecasts via constrained optimization and shrinkage 0 1 2 21 0 1 4 31
Piecewise constant martingales and lazy clocks 0 0 0 0 0 0 2 8
Piecewise constant martingales and lazy clocks 0 0 0 0 1 2 3 5
Portfolio Selection: A Target-Distribution Approach 0 0 0 7 0 1 1 9
Portfolio selection with parsimonious higher comoments estimation 0 0 0 0 1 1 1 11
Portfolio selection: A target-distribution approach 0 0 0 0 0 0 0 5
Recovery rates: Uncertainty certainly matters 0 0 0 0 0 1 4 18
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 1 3 11
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 0 1 3 38
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 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 0 4 9 0 1 8 35
Sibuya copulas 0 0 0 0 0 0 2 7
Sibuya copulas 0 0 0 39 1 1 3 75
Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products 0 0 0 0 0 1 2 15
The [phi]-Martingale 0 0 1 14 1 1 4 57
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 1 1 20
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics 0 0 0 0 0 1 1 35
Total Working Papers 1 5 18 283 12 37 142 1,189

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 3 21
A comparison of pricing and hedging performances of equity derivatives models 0 0 0 8 0 2 3 27
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework 0 3 9 26 1 6 16 49
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 0 1 1 0 0 2 6
Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes 0 0 1 2 0 0 2 13
Conic martingales from stochastic integrals 0 0 0 1 3 3 6 15
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 0 3 17 3 3 9 75
Extreme events and the cumulative distribution of net gains in gambling and structured products 0 0 0 1 0 1 1 10
Forecasting recovery rates on non-performing loans with machine learning 1 3 7 33 2 9 26 151
Meta-Learning Approaches for Recovery Rate Prediction 0 0 0 2 1 1 2 5
Minimum Rényi entropy portfolios 0 0 0 7 0 0 5 36
Optimal Portfolio Diversification via Independent Component Analysis 0 1 1 2 0 1 3 7
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 1 3 0 1 4 8
Recovery rates: Uncertainty certainly matters 0 0 1 23 0 2 5 92
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 1 1 2 37
Sibuya copulas 0 0 1 12 0 1 4 47
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS 0 0 0 9 0 1 1 52
Total Journal Articles 1 7 28 165 11 32 108 734

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 1 1 27
Total Chapters 0 0 0 9 0 1 1 27

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Statistics updated 2025-10-06