Frédéric Vrins
Names
| first: |
Frédéric |
| last: |
Vrins |
Identifer
Contact
Affiliations
-
Université Catholique de Louvain
/ Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM)
/ Louvain Finance
Research profile
author of:
- Minimum Rényi entropy portfolios (RePEc:ajf:louvlf:2019003)
by Lassance, Nathan & Vrins, Frédéric - Affine term-structure models: A time-changed approach with perfect fit to market curves (RePEc:ajf:louvlf:2019005)
by Mbaye, Cheikh & Vrins, Frédéric - Robust portfolio selection using sparse estimation of comoment tensors (RePEc:ajf:louvlf:2019007)
by Lassance, Nathan & Vrins, Frédéric - Forecasting recovery rates on non-performing loans with machine learning (RePEc:ajf:louvlf:2020002)
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric - Robust portfolio selection using sparse estimation of comoment tensors (RePEc:ajf:louvlf:2020003)
by Lassance, Nathan & Vrins, Frédéric - Optimal and robust combination of forecasts via constrained optimization and shrinkage (RePEc:ajf:louvlf:2020006)
by Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric - Meta-learning approaches for recovery rate prediction (RePEc:ajf:louvlf:2020007)
by Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric - Portfolio Selection: A Target-Distribution Approach (RePEc:ajf:louvlf:2021005)
by Lassance, Nathan & Vrins, Frédéric - Asymmetric short-rate model without lower bound (RePEc:ajf:louvlf:2021006)
by Vrins, Frédéric & Wang, Linqi - Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default (RePEc:ajf:louvlf:2021009)
by Barbagli, Matteo & Vrins, Frédéric - Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? (RePEc:ajf:louvlf:2021012)
by Herr, Donovan & Clausse, Emilien & Vrins, Frédéric - Optimal Portfolio Diversification via Independent Component Analysis (RePEc:ajf:louvlf:2021014)
by DeMiguel, Victor & Lassance, Nathan & Vrins, Frédéric - On the optimal combination of naive and mean-variance portfolio strategies (RePEc:ajf:louvlf:2022006)
by Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric - A general firm value model under partial information (RePEc:ajf:louvlf:2022009)
by Mbaye, Cheikh & Sagna, Abass & Vrins, Frédéric - Sibuya copulas (RePEc:ajf:louvlr:2013003)
by Hofert, Marius & Vrins, Frédéric - Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics (RePEc:ajf:louvlr:2017001)
by Vrins, Frédéric - Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint (RePEc:ajf:louvlr:2018005)
by Vrins, Frédéric - Extreme events and the cumulative distribution of net gains in gambling and structured products (RePEc:ajf:louvlr:2018010)
by Vrins, Frédéric & Petitjean, Mikael - Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (RePEc:ajf:louvlr:2018012)
by Brigo, Damiano & Vrins, Frédéric - Bannissement des produits dérivés: la bonne affaire ? (RePEc:ajf:louvlr:2018014)
by Vrins, Frédéric - A subordinated CIR intensity model with application to wrong-way risk CVA (RePEc:ajf:louvlr:2018016)
by Mbaye, Cheikh & Vrins, Frédéric - A Comparison of Pricing and Hedging Performances of Equity Derivatives Models (RePEc:ajf:louvlr:2018017)
by Lassance, Nathan & Vrins, Frédéric - Advances in Credit Risk Modeling and Management (RePEc:ajf:louvlr:2019001)
by Vrins, Frédéric - Piecewise constant martingales and lazy clocks (RePEc:ajf:louvlr:2019004)
by Profeta, Christophe & Vrins, Frédéric - Recovery rates: Uncertainty certainly matters (RePEc:ajf:louvlr:2019007)
by Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric - Minimum Rényi entropy portfolios (RePEc:ajf:louvlr:2019009)
by Lassance, Nathan & Vrins, Frédéric - Forecasting recovery rates on non-performing loans with machine learning (RePEc:ajf:louvlr:2020002)
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric - SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (RePEc:ajf:louvlr:2020006)
by Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric - Portfolio selection with parsimonious higher comoments estimation (RePEc:ajf:louvlr:2021005)
by Lassance, Nathan & Vrins, Frédéric - Optimal Portfolio Diversification via Independent Component Analysis (RePEc:ajf:louvlr:2021012)
by DeMiguel, Victor & Lassance, Nathan & Vrins, Frédéric - Optimal and robust combination of forecasts via constrained optimization and shrinkage (RePEc:ajf:louvlr:2021014)
by Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric - Affine term structure models: a time-change approach with perfect fit to market curves (RePEc:ajf:louvlr:2021024)
by Mbaye, Cheikh & Vrins, Frédéric - Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? (RePEc:ajf:louvlr:2021025)
by Herr, Donovan & Clausse, Emilien & Vrins, Frédéric - A general firm-value model under partial information (RePEc:ajf:louvlr:2022008)
by Mbaye, Cheikh & Sagna, Abass & Vrins, Frédéric - Meta-Learning Approaches for Recovery Rate Prediction (RePEc:ajf:louvlr:2022011)
by Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric - Portfolio selection: A target-distribution approach (RePEc:ajf:louvlr:2023004)
by Lassance, Nathan & Vrins, Frédéric - Sibuya copulas (RePEc:arx:papers:1008.2292)
by Marius Hofert & Frederic Vrins - Conic Martingales from Stochastic Integrals (RePEc:arx:papers:1603.07488)
by Fr'ed'eric Vrins & Monique Jeanblanc - Wrong-Way Risk Models: A Comparison of Analytical Exposures (RePEc:arx:papers:1605.05100)
by Fr'ed'eric Vrins - Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment (RePEc:arx:papers:1611.02877)
by Damiano Brigo & Fr'ed'eric Vrins - Minimum R\'enyi Entropy Portfolios (RePEc:arx:papers:1705.05666)
by Nathan Lassance & Fr'ed'eric Vrins - A subordinated CIR intensity model with application to Wrong-Way risk CVA (RePEc:arx:papers:1801.05673)
by Cheikh Mbaye & Fr'ed'eric Vrins - Affine term structure models : a time-changed approach with perfect fit to market curves (RePEc:arx:papers:1903.04211)
by Cheikh Mbaye & Fr'ed'eric Vrins - Conditional survival probabilities under partial information: a recursive quantization approach with applications (RePEc:arx:papers:1909.01970)
by Cheikh Mbaye & Abass Sagna & Fr'ed'eric Vrins - Conic martingales from stochastic integrals (RePEc:bla:mathfi:v:28:y:2018:i:2:p:516-535)
by Monique Jeanblanc & Frédéric Vrins - Affine term structure models: A time‐change approach with perfect fit to market curves (RePEc:bla:mathfi:v:32:y:2022:i:2:p:678-724)
by Cheikh Mbaye & Frédéric Vrins - The [phi]-Martingale (RePEc:cor:louvco:2015022)
by Vrins, F. & Jeanblanc, M. - SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions (RePEc:cor:louvco:2016046)
by BRIGO, Damiano & JEANBLANC, Monique & VRINS, Frédéric - Screening procrastinators with automatiic-renewal contracts (RePEc:cor:louvco:2017031)
by PROFETA Christophe & VRINS Frédéric - Minimum Rényi entropy portfolios (RePEc:cor:louvco:2019001)
by LASSANCE Nathan, & VRINS Frédéric, - Characteristic funciton of time-inhomogeneous Lévy-Driven_Ornstein-Uhlenbeck processes (RePEc:cor:louvrp:2804)
by Frédéric VRINS - An antithetic approach of multilevel Ricardson-Romberg extrapolation estimator for multidimensional SDES (RePEc:cor:louvrp:2843)
by Cheikh MBAYE & Gilles PAGES & Frédéric VRINS - Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics (RePEc:cor:louvrp:2922)
by Frédéric Vrins - A comparison of pricing and hedging performances of equity derivatives models (RePEc:cor:louvrp:2934)
by Nathan Lassance & Frédéric Vrins - Conic martingales from stochastic integrals (RePEc:cor:louvrp:2942)
by Monique Jeanblanc & Frédéric Vrins - Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures (RePEc:cor:louvrp:2949)
by Damiano Brigo & Frédéric Vrins - Sampling the multivariate standard normal distribution under a weighted sum constraint (RePEc:cor:louvrp:2980)
by Frédéric Vrins - Jeux de hasard en Belgique: la modélisation mathématique au service de la transparence (RePEc:cor:louvrp:2981)
by Philippe Chevalier & Frédéric Vrins - A surbordinated CIR intensity model with application to wrong-way risk CVA (RePEc:cor:louvrp:2984)
by Cheikh Mbaye & Frédéric Vrins - Bannissement des produits dérivés : la bonne affaire ? (RePEc:cor:louvrp:2986)
by Frédéric Vrins - Piecewise constant martingales and lazy clocks (RePEc:cor:louvrp:2990)
by Christophe Profeta & Frédéric Vrins - Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products (RePEc:cor:louvrp:3060)
by Paolo Gambetti & Genevière Gauthier & Frédéric Vrins - Minimum Rényi entropy portfolios (RePEc:cor:louvrp:3062)
by Nathan Lassance & Frédéric Vrins - SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (RePEc:cor:louvrp:3067)
by Damiano Brigo & Monique Jeanblanc & Frédéric Vrins - Bannissement des produits dérivés : la bonne affaire ? (RePEc:ctl:louvrg:142)
by Frédéric Vrins - Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework (RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335)
by Barbagli, Matteo & Vrins, Frédéric - Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164)
by BRIGO, Damiano & VRINS, Frédéric - Portfolio selection: A target-distribution approach (RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314)
by Lassance, Nathan & Vrins, Frédéric - Forecasting recovery rates on non-performing loans with machine learning (RePEc:eee:intfor:v:37:y:2021:i:1:p:428-444)
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric - Optimal and robust combination of forecasts via constrained optimization and shrinkage (RePEc:eee:intfor:v:38:y:2022:i:1:p:97-116)
by Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric - Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage (RePEc:eee:intfor:v:38:y:2022:i:3:p:1050-1050)
by Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric - Recovery rates: Uncertainty certainly matters (RePEc:eee:jbfina:v:106:y:2019:i:c:p:371-383)
by Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric - Portfolio selection with parsimonious higher comoments estimation (RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x)
by Lassance, Nathan & Vrins, Frédéric - Sibuya copulas (RePEc:eee:jmvana:v:114:y:2013:i:c:p:318-337)
by Hofert, Marius & Vrins, Frédéric - SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (RePEc:eee:spapps:v:130:y:2020:i:7:p:3895-3919)
by Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric - Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes (RePEc:eee:stapro:v:116:y:2016:i:c:p:55-61)
by Vrins, Frédéric - Meta-Learning Approaches for Recovery Rate Prediction (RePEc:gam:jrisks:v:10:y:2022:i:6:p:124-:d:837184)
by Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins - Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint (RePEc:gam:jrisks:v:6:y:2018:i:3:p:64-:d:154355)
by Frédéric Vrins - Extreme events and the cumulative distribution of net gains in gambling and structured products (RePEc:hal:journl:hal-02572325)
by Frédéric Vrins & Mikael Petitjean - Optimal Portfolio Diversification via Independent Component Analysis (RePEc:inm:oropre:v:70:y:2022:i:1:p:55-72)
by Nathan Lassance & Victor DeMiguel & Frédéric Vrins - Minimum Rényi entropy portfolios (RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2)
by Nathan Lassance & Frédéric Vrins - A comparison of pricing and hedging performances of equity derivatives models (RePEc:taf:applec:v:50:y:2018:i:10:p:1122-1137)
by Nathan Lassance & Frédéric Vrins - Extreme events and the cumulative distribution of net gains in gambling and structured products (RePEc:taf:applec:v:50:y:2018:i:58:p:6285-6300)
by Frédéric Vrins & Mikael Petitjean - Asymmetric short-rate model without lower bound (RePEc:taf:quantf:v:23:y:2023:i:2:p:279-295)
by Frédéric Vrins & Linqi Wang - Wrong-Way Risk Cva Models With Analytical Epe Profiles Under Gaussian Exposure Dynamics (RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500455)
by Frédéric Vrins - A Subordinated Cir Intensity Model With Application To Wrong-Way Risk Cva (RePEc:wsi:ijtafx:v:21:y:2018:i:07:n:s0219024918500450)
by Cheikh Mbaye & Frédéric Vrins - Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models (RePEc:wsi:wschap:9789813272569_0002)
by Damiano Brigo & Thomas Hvolby & Frédéric Vrins