Frédéric D. Vrins

LFIN/LIDAM, UCLouvain

Professor of Finance

Voie du Roman Pays 34

Louvain-la-Neuve, 1348

Belgium

http://www.uclouvain.be/frederic.vrins

Center for Operations Research and Econometrics (CORE), UC Louvain

Voie du Roman Pays 34

Louvain-la-Neuve,, B-1348

Belgium

  • LFIN/LIDAM, UCLouvain

  • Center for Operations Research and Econometrics (CORE), UC Louvain

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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Top 30,317

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20

CROSSREF CITATIONS

8

Scholarly Papers (19)

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1.

Optimal Portfolio Diversification via Independent Component Analysis

Operations Research, 2022, 70(1):55-72
Number of pages: 56 Posted: 09 Dec 2018 Last Revised: 08 Feb 2022
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, London Business School and LFIN/LIDAM, UCLouvain
Downloads 968 (37,166)
Citation 2

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Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments

2.

Forecasting Recovery Rates on Non-Performing Loans with Machine Learning

Credit Scoring and Credit Control Conference XVI
Number of pages: 29 Posted: 12 Aug 2019 Last Revised: 06 Sep 2019
Anthony Bellotti, Damiano Brigo, Paolo Gambetti and Frédéric D. Vrins
University of Nottingham Ningbo China, Imperial College London - Department of Mathematics, Louvain Finance Center (LFIN), UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 511 (85,973)
Citation 7

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Risk Management, Recovery Rate, Non-Performing Loans, Forecasting

3.

Understanding Decreasing CDS Curves

Number of pages: 22 Posted: 18 Apr 2010
J. Adem, Arnaud Theunissen, S. Verhasselt, Moises Gerstein-Alvarez and Frédéric D. Vrins
ING, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 168 (272,202)

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credit default swaps, CDS, spread curve, arbitrage

4.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, 2021, 299(1):23-46.
Number of pages: 37 Posted: 16 May 2017 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 165 (276,339)
Citation 2

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Portfolio selection, Shannon entropy, Rényi entropy, Risk measure, Information theory, Risk parity

5.

CVA and Wrong-Way Risk: A Model Comparison from a Measure Change Perspective

Number of pages: 41 Posted: 25 Nov 2014
Frédéric D. Vrins
LFIN/LIDAM, UCLouvain
Downloads 153 (294,214)

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CVA, Wrong-Way risk, stochastic intensity models, bounded martingales

6.

A Comparison of Pricing and Hedging Performances of Equity Derivatives Models

Applied Economics, Volume 50, Issue 10, pp. 1122-1137
Number of pages: 15 Posted: 17 Jul 2017 Last Revised: 05 Jan 2018
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 152 (295,776)

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Option Pricing, Dynamic Hedging, Stochastic Volatility, Payoff Replication, Calibration

7.

Double T Copula Pricing of Structured Credit Products: Practical Aspects of a Trustworthy Implementation

Journal of Credit Risk, 2009
Number of pages: 14 Posted: 18 Apr 2010
Frédéric D. Vrins
LFIN/LIDAM, UCLouvain
Downloads 148 (302,334)
Citation 2

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CDO, copula, double t copula, numerical integration

8.

Portfolio selection with parsimonious higher comoments estimation

Journal of Banking and Finance (2021), 126(9), 106-115.
Number of pages: 29 Posted: 01 Oct 2019 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 137 (321,414)
Citation 2

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Portfolio selection; Estimation risk; Independent component analysis; Principal component analysis; Higher moments

9.

Portfolio Selection: A Target-Distribution Approach

European Journal of Operational Research (forthcoming)
Number of pages: 63 Posted: 28 Jul 2021 Last Revised: 14 Feb 2023
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 126 (342,363)

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portfolio optimization, higher moments, downside risk, Kullback-Leibler divergence

10.

On the Combination of Naive and Mean-Variance Portfolio Strategies

Number of pages: 76 Posted: 22 Jul 2022 Last Revised: 24 Jan 2023
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 87 (440,435)

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portfolio optimization, parameter uncertainty, estimation risk, equally weighted portfolio, portfolio constraints

11.

Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework

Number of pages: 18 Posted: 18 Apr 2010
Frédéric D. Vrins
LFIN/LIDAM, UCLouvain
Downloads 86 (443,599)

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First to Default Swaps, Basket Default Swaps, Dynamic model, Analytical pricing, Sibuya copula

12.

Recovery Rates: Uncertainty Certainly Matters

Number of pages: 39 Posted: 06 May 2019
Paolo Gambetti, Geneviève Gauthier and Frédéric D. Vrins
Louvain Finance Center (LFIN), UCLouvain, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and LFIN/LIDAM, UCLouvain
Downloads 83 (452,954)
Citation 1

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Recovery rate, Loss given default, Corporate bond, Credit risk, Uncertainty

13.

Disentangling Wrong-Way Risk: Pricing CVA via Change of Measures and Drift Adjustment

Number of pages: 29 Posted: 22 Apr 2019
Damiano Brigo and Frédéric D. Vrins
Imperial College London - Department of Mathematics and LFIN/LIDAM, UCLouvain
Downloads 60 (539,584)
Citation 7

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counterparty risk, CVA, wrong-way risk, stochastic intensity, jump-diffusions, change of measure, drift adjustment, wrong way measure

14.

Affine Term-Structure Models: A Time-Changed Approach with Perfect Fit to Market Curves

Number of pages: 55 Posted: 22 Apr 2019
Cheikh Mbaye and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and LFIN/LIDAM, UCLouvain
Downloads 52 (576,255)

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credit risk, model calibration, default model, stochastic intensity, affine process, time change

15.

A Subordinated CIR Intensity Model with Application to Wrong-Way Risk CVA

Number of pages: 28 Posted: 22 Apr 2019
Cheikh Mbaye and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and LFIN/LIDAM, UCLouvain
Downloads 47 (601,525)
Citation 1

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16.

Conic Martingales from Stochastic Integrals

Number of pages: 34 Posted: 23 Mar 2016 Last Revised: 17 May 2017
Frédéric D. Vrins and Monique Jeanblanc
LFIN/LIDAM, UCLouvain and Université d'Évry - Departement de Mathematiques
Downloads 31 (696,414)
Citation 2

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bounded martingale, stochastic differential equation, diffusion process, stochastic survival probability

17.

Meta-Learning Approaches for Recovery Rate Prediction

Number of pages: 33 Posted: 26 Mar 2022
Francesco Roccazzella, Paolo Gambetti and Frédéric D. Vrins
affiliation not provided to SSRN, Louvain Finance Center (LFIN), UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 22 (762,242)

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Finance, Forecasting, Credit Risk, Machine Learning, Recovery rate

18.

Extreme Events and the Cumulative Distribution of Net Gains in Gambling and Structured Products

Applied Economics, Volume 50, 2018 - Issue 58.
Number of pages: 37 Posted: 21 Jan 2021
Frédéric D. Vrins and Mikael Petitjean
LFIN/LIDAM, UCLouvain and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 11 (857,016)

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Extreme events, ethical communication, distribution of gains, simulations, gambling, lotteries, structured products

19.

A General Firm Value Model under Partial Information

Journal of Computational Finance, Vol. 26, No. 1, 2022
Number of pages: 32 Posted: 18 Aug 2022
Cheikh Mbaye, Abass Sagna and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), ENSIIE and LFIN/LIDAM, UCLouvain
Downloads 0 (955,057)
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finance, credit risk, structural model, noisy information, nonlinear filtering