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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968

SSRN CITATIONS
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SSRN RANKINGS

Top 40,025

in Total Papers Citations

3

CROSSREF CITATIONS

10

Scholarly Papers (14)

1.

Optimal Portfolio Diversification via Independent Component Analysis

Number of pages: 44 Posted: 09 Dec 2018 Last Revised: 29 Jul 2019
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), London Business School and Louvain Finance Center (LFIN), UC Louvain
Downloads 186 (162,286)

Abstract:

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

2.

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
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Louvain Finance Center (LFIN), UC Louvain
Downloads 129 (220,665)
Citation 1

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

3.

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 127 (223,307)

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

4.

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 125 (226,019)

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credit default swaps, CDS, spread curve, arbitrage

5.

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 97 (270,427)
Citation 1

Abstract:

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CDO, copula, double t copula, numerical integration

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
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Louvain Finance Center (LFIN), UC Louvain
Downloads 78 (309,670)

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

7.

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 (314,514)

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

8.

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 52 (381,693)

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

9.

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 36 (440,772)

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

10.
Downloads 23 (504,590)
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 22 (527,287)
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 (684,722)
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bounded martingale, diffusion process, stochastic differential equation, stochastic survival probability

11.

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 18 (533,873)

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

12.

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 11 (576,276)
Citation 1

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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 Louvain Finance Center (LFIN), UC Louvain
Downloads 10 (582,581)
Citation 3

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

14.

Robust portfolio selection using sparse estimation of comoment tensors

Number of pages: 24
Nathan Lassance and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Louvain Finance Center (LFIN), UC Louvain
Downloads 0

Abstract:

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Portfolio selection, robustness, independent component analysis, higher moments