Frédéric D. Vrins

Louvain Finance Center (LFIN), UC Louvain

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

SCHOLARLY PAPERS

14

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1,232

SSRN CITATIONS
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SSRN RANKINGS

Top 37,351

in Total Papers Citations

5

CROSSREF CITATIONS

11

Scholarly Papers (14)

1.

Optimal Portfolio Diversification via Independent Component Analysis

Number of pages: 46 Posted: 09 Dec 2018 Last Revised: 29 Jan 2020
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance, London Business School and Louvain Finance Center (LFIN), UC Louvain
Downloads 246 (129,126)
Citation 1

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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
Imperial College London, Imperial College London - Department of Mathematics, Louvain Finance Center (LFIN), UCLouvain and Louvain Finance Center (LFIN), UC Louvain
Downloads 161 (191,004)

Abstract:

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

3.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, Forthcoming
Number of pages: 37 Posted: 16 May 2017 Last Revised: 25 Aug 2019
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 132 (224,908)
Citation 2

Abstract:

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

4.

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

Number of pages: 41 Posted: 25 Nov 2014
Frédéric D. Vrins
Louvain Finance Center (LFIN), UC Louvain
Downloads 130 (227,563)

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

5.

Understanding Decreasing CDS Curves

Number of pages: 22 Posted: 18 Apr 2010
ING, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Louvain Finance Center (LFIN), UC Louvain
Downloads 127 (231,684)

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credit default swaps, CDS, spread curve, arbitrage

6.

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
Louvain Finance Center (LFIN), UC Louvain
Downloads 99 (276,758)
Citation 2

Abstract:

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CDO, copula, double t copula, numerical integration

7.

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
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 82 (313,971)

Abstract:

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

8.

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

Number of pages: 18 Posted: 18 Apr 2010
Frédéric D. Vrins
Louvain Finance Center (LFIN), UC Louvain
Downloads 76 (325,894)

Abstract:

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

9.

Robust Portfolio Selection Using Sparse Estimation of Comoment Tensors

Number of pages: 27 Posted: 01 Oct 2019 Last Revised: 06 Dec 2019
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 53 (392,053)

Abstract:

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portfolio selection, robustness, independent component analysis, higher moments

10.

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, HEC Montreal - Department of Decision Sciences and Louvain Finance Center (LFIN), UC Louvain
Downloads 48 (409,213)
Citation 1

Abstract:

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

11.
Downloads 25 (511,131)
Citation 4

Conic Martingales from Stochastic Integrals

Number of pages: 34 Posted: 23 Mar 2016 Last Revised: 17 May 2017
Frédéric D. Vrins and Monique Jeanblanc
Louvain Finance Center (LFIN), UC Louvain and Université d'Évry - Departement de Mathematiques
Downloads 24 (533,339)
Citation 2

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

Conic Martingales from Stochastic Integrals

Mathematical Finance, Vol. 28, Issue 2, pp. 516-535, 2018
Number of pages: 20 Posted: 16 Mar 2018
Monique Jeanblanc and Frédéric D. Vrins
Université d'Évry - Departement de Mathematiques and Louvain Finance Center (LFIN), UC Louvain
Downloads 1 (707,605)
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bounded martingale, diffusion process, stochastic differential equation, stochastic survival probability

12.

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 Louvain Finance Center (LFIN), UC Louvain
Downloads 21 (534,723)

Abstract:

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

13.

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 Louvain Finance Center (LFIN), UC Louvain
Downloads 19 (546,980)
Citation 1

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14.

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 Louvain Finance Center (LFIN), UC Louvain
Downloads 13 (584,269)
Citation 3

Abstract:

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