Frédéric D. Vrins

LFIN/LIDAM, UCLouvain

Professor of Finance

SCHOLARLY PAPERS

26

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Top 19,370

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5,500

TOTAL CITATIONS
Rank 20,227

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Top 20,227

in Total Papers Citations

53

Scholarly Papers (26)

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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 1,378 (30,695)
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 804 (65,772)
Citation 15

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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 408 (153,750)

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credit default swaps, CDS, spread curve, arbitrage

4.

On the Combination of Naive and Mean-Variance Portfolio Strategies

Journal of Business & Economic Statistics (2024), 42(3), 875-889
Number of pages: 98 Posted: 22 Jul 2022 Last Revised: 25 Nov 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 260 (248,020)
Citation 8

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

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 230 (279,911)

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

6.

Portfolio Selection: A Target-Distribution Approach

European Journal of Operational Research, 310(1), 302-314
Number of pages: 63 Posted: 28 Jul 2021 Last Revised: 25 Nov 2024
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 218 (294,692)
Citation 3

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

7.

Some Useful Gaussian Integrals and Expectations

Number of pages: 7 Posted: 24 Feb 2025 Last Revised: 25 Feb 2025
Frédéric D. Vrins
LFIN/LIDAM, UCLouvain
Downloads 214 (301,280)

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8.

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 208 (308,187)

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

9.

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 201 (318,195)
Citation 2

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

10.

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 193 (330,315)
Citation 2

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CDO, copula, double t copula, numerical integration

11.

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 183 (346,864)
Citation 2

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

12.

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 157 (396,476)
Citation 11

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

13.

Optimal Portfolio Size under Parameter Uncertainty

Number of pages: 90 Posted: 11 Jul 2024 Last Revised: 29 Oct 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 154 (405,192)

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portfolio selection, estimation risk, dimension reduction, out-of-sample performance, portfolio combination rules JEL Classification: G11

14.

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 GERADaffiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 139 (437,634)
Citation 1

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

15.

The Role of CDS Spreads in Explaining Bond Recovery Rates

LIDAM Discussion Paper: LFIN Series, 2024
Number of pages: 38 Posted: 08 Mar 2024
Matteo Barbagli, Pascal Francois, Geneviève Gauthier and Frédéric D. Vrins
UCLouvain - LFIN/LIDAM, HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 120 (491,507)

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Credit risk, Recovery rate, Credit default swap, Corporate bond, Uncertainty

16.

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 113 (514,214)

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

17.

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 105 (542,847)

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18.

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 86 (618,395)

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

19.

European option pricing with model constrained Gaussian process regressions

Number of pages: 27 Posted: 25 Nov 2024 Last Revised: 16 Dec 2024
Donatien Hainaut and Frédéric D. Vrins
Catholic University of Louvain (UCL) and LFIN/LIDAM, UCLouvain
Downloads 79 (654,375)

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Gaussian process regression, Option pricing, Feynman-Kac equation, partial differential equation, Heston model, machine learning

20.

Business Cycle and Realized Losses in the Consumer Credit Industry

Number of pages: 36 Posted: 09 Jan 2024
Francesco Roccazzella, Walter Distaso and Frédéric D. Vrins
IESEG School of Management, Imperial College Business School and LFIN/LIDAM, UCLouvain
Downloads 76 (663,804)

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Credit Risk, Consumer Credit, Loss Given Default, Non-Performing Loans

21.

Meta-Learning Approaches for Recovery Rate Prediction

Number of pages: 33 Posted: 26 Mar 2022
Francesco Roccazzella, Paolo Gambetti and Frédéric D. Vrins
IESEG School of Management, Louvain Finance Center (LFIN), UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 56 (776,990)
Citation 5

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

22.

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 52 (804,730)
Citation 2

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

23.

Credit Selection in Collateralized Loan Obligation: Efficient Approximation Through Linearization and Clustering

Number of pages: 41 Posted: 05 Dec 2024
Arnaud Germain and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and LFIN/LIDAM, UCLouvain
Downloads 43 (875,302)

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24.

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 Université Polytechnique Hauts-de-France
Downloads 22 (1,092,805)

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

25.

Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part

Number of pages: 28 Posted: 01 Apr 2025
Frédéric D. Vrins
LFIN/LIDAM, UCLouvain
Downloads 1

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26.

On the distribution of the integral of a function with respect to a Brownian Bridge

Number of pages: 12
Frédéric D. Vrins
LFIN/LIDAM, UCLouvain
Downloads 0

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