Frédéric Vrins
Université Catholique de Louvain
H-index: 17
Europe-Belgium
Top articles of Frédéric Vrins
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
The role of CDS spreads in explaining bond recovery rates | Matteo Barbagli Pascal François Geneviève Gauthier Frédéric D Vrins | 2024/2/14 | |
Portfolio selection: A target-distribution approach | European Journal of Operational Research | Nathan Lassance Frédéric Vrins | 2023/10/1 |
Electrode selection for noninvasive fetal electrocardiogram extraction using mutual information criteria | arXiv preprint arXiv:2302.00206 | Reza Sameni Frédéric Vrins Fabienne Parmentier Christophe Herail Vincent Vigneron | 2023/2/1 |
Extension of a pedagogical tool in Python to price and hedge options | Valentin Paquay Frédéric Vrins | 2023/9 | |
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework | Economic Modelling | Matteo Barbagli Frédéric Vrins | 2023/8/1 |
Focus 30-mars 2023: SVB, Crédit Suisse,… au suivant? | Regards économiques | Frédéric Vrins | 2023/3/30 |
Business Cycle and Realized Losses in the Consumer Credit Industry | Available at SSRN 4663161 | Francesco Roccazzella Walter Distaso Frédéric D Vrins | 2023/12/13 |
On the combination of naive and mean-variance portfolio strategies | Journal of Business & Economic Statistics | Nathan Lassance Rodolphe Vanderveken Frédéric Vrins | 2023/10/13 |
Asymmetric short-rate model without lower bound | Quantitative Finance | Frédéric Vrins Linqi Wang | 2023/2/1 |
Measuring ESG Performance: A Text Mining Approach | Louvain School of Management, Université catholique de Louvain. CFA Institute,[Online] available: https://www. cfainstitute. org/-/media/documents/protected/esg-candidate/pdf/2021-Chapter3. pdf [2022 August 20] | Emilien Caudron Frédéric Vrins | 2022 |
Optimal portfolio diversification via independent component analysis, 70 (1), 55-72 | Operations Research | Nathan Lassance Victor DeMiguel Frédéric Vrins | 2022/1 |
On the optimal combination and mean-variance strategies | Frédéric Vrins Rodolphe Vanderveken Nathan Lassance | 2022 | |
Optimal and robust combination of forecasts via contrained optimization and shrinkage | Francesco Roccazzella Paolo Gambetti Frédéric Vrins | 2022/7/1 | |
Asian option pricing with comonotonic bounds. | Nazarii Tretiak Frédéric Vrins | 2022 | |
Meta-learning approaches for recovery rate prediction | Risks | Paolo Gambetti Francesco Roccazzella Frédéric Vrins | 2022/6/12 |
Affine term structure models: A time‐change approach with perfect fit to market curves | Mathematical Finance | Cheikh Mbaye Frédéric Vrins | 2022/4 |
On the optimal combination of naive and mean-variance portfolio strategies | Rodolphe Vanderveken Nathan Lassance Frédéric Vrins | 2022 | |
A general firm value model under partial information | Journal of Computational Finance | Cheikh Mbaye Abass Sagna Frédéric D Vrins | 2022/3/15 |
Forecasting recovery rates on non-performing loans with machine learning | International Journal of Forecasting | Anthony Bellotti Damiano Brigo Paolo Gambetti Frédéric Vrins | 2021/1/1 |
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default | Matteo Barbagli Frédéric Vrins | 2021/8/25 |
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