Frédéric D. Vrins

LFIN/LIDAM, UCLouvain

Professor of Finance

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 22,025

SSRN RANKINGS

Top 22,025

in Total Papers Downloads

4,596

SSRN CITATIONS
Rank 19,995

SSRN RANKINGS

Top 19,995

in Total Papers Citations

60

CROSSREF CITATIONS

9

Scholarly Papers (23)

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 1,288 (31,766)
Citation 2

Abstract:

Loading...

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 716 (71,818)
Citation 15

Abstract:

Loading...

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

3.

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 LFIN/LIDAM, UCLouvain
Downloads 353 (168,024)

Abstract:

Loading...

credit default swaps, CDS, spread curve, arbitrage

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
LFIN/LIDAM, UCLouvain
Downloads 216 (276,968)

Abstract:

Loading...

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

5.

On the Combination of Naive and Mean-Variance Portfolio Strategies

Journal of Business & Economic Statistics, forthcoming
Number of pages: 98 Posted: 22 Jul 2022 Last Revised: 22 Jul 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 206 (289,578)
Citation 8

Abstract:

Loading...

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

6.

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 194 (305,923)
Citation 3

Abstract:

Loading...

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

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
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 192 (308,849)

Abstract:

Loading...

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

8.

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 190 (311,785)
Citation 2

Abstract:

Loading...

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

9.

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 185 (319,360)
Citation 2

Abstract:

Loading...

CDO, copula, double t copula, numerical integration

10.

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 172 (340,798)
Citation 2

Abstract:

Loading...

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

11.

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 143 (397,556)
Citation 10

Abstract:

Loading...

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

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 GERADaffiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 116 (467,156)
Citation 1

Abstract:

Loading...

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

13.

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 106 (499,167)

Abstract:

Loading...

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

14.

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 95 (538,147)

Abstract:

Loading...

15.

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 88 (564,374)

Abstract:

Loading...

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

16.

The Role of CDS Spreads in Explaining Bond Recovery Rates

LIDAM Discussion Paper: LFIN Series, 2024
Number of pages: 38 Posted: 08 Mar 2024
UCLouvain - LFIN/LIDAM, HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 85 (576,303)

Abstract:

Loading...

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

17.

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 79 (601,840)

Abstract:

Loading...

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

18.

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 58 (704,725)

Abstract:

Loading...

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

19.

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 48 (765,577)
Citation 2

Abstract:

Loading...

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

20.

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 47 (772,183)
Citation 5

Abstract:

Loading...

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

21.

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 19 (1,015,640)

Abstract:

Loading...

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

22.

Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering *

Number of pages: 41
Frédéric D. Vrins and Arnaud Germain
LFIN/LIDAM, UCLouvain and affiliation not provided to SSRN
Downloads 0

Abstract:

Loading...

23.

European option pricing with model constrained Gaussian process regressions

Number of pages: 27
Donatien Hainaut and Frédéric D. Vrins
Catholic University of Louvain (UCL) and LFIN/LIDAM, UCLouvain
Downloads 0

Abstract:

Loading...

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