オープン アクセスを義務付けられた論文 - Frédéric Vrins詳細
一般には非公開: 2 件
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework
M Barbagli, F Vrins
Economic Modelling 125, 106321, 2023
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Credit default swaps: the quest of the hedge
F Vrins, W Schoutens
Wilmott Journal: The International Journal of Innovative Quantitative …, 2009
委任: Research Foundation (Flanders)
一般公開: 20 件
Forecasting recovery rates on non-performing loans with machine learning
A Bellotti, D Brigo, P Gambetti, F Vrins
International Journal of Forecasting 37 (1), 428-444, 2021
委任: National Fund for Scientific Research, Belgium
Optimal portfolio diversification via independent component analysis
N Lassance, V DeMiguel, F Vrins
Operations Research 70 (1), 55-72, 2022
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Recovery rates: Uncertainty certainly matters
P Gambetti, G Gauthier, F Vrins
Journal of Banking & Finance 106, 371-383, 2019
委任: National Fund for Scientific Research, Belgium, Natural Sciences and …
Minimum Rényi entropy portfolios
N Lassance, F Vrins
Annals of Operations Research 299, 23-46, 2021
委任: National Fund for Scientific Research, Belgium
Portfolio selection with parsimonious higher comoments estimation
N Lassance, F Vrins
Journal of Banking & Finance 126, 106115, 2021
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
D Brigo, F Vrins
European Journal of Operational Research 269 (3), 1154-1164, 2018
委任: National Fund for Scientific Research, Belgium
Optimal and robust combination of forecasts via constrained optimization and shrinkage
F Roccazzella, P Gambetti, F Vrins
International Journal of Forecasting 38 (1), 97-116, 2022
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
On the combination of naive and mean-variance portfolio strategies
N Lassance, R Vanderveken, F Vrins
Journal of Business & Economic Statistics 42 (3), 875-889, 2024
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Meta-learning approaches for recovery rate prediction
P Gambetti, F Roccazzella, F Vrins
Risks 10 (6), 124, 2022
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Portfolio selection: A target-distribution approach
N Lassance, F Vrins
European Journal of Operational Research 310 (1), 302-314, 2023
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
A comparison of pricing and hedging performances of equity derivatives models
N Lassance, F Vrins
Applied Economics 50 (10), 1122-1137, 2018
委任: National Fund for Scientific Research, Belgium
Affine term structure models: A time‐change approach with perfect fit to market curves
C Mbaye, F Vrins
Mathematical Finance 32 (2), 678-724, 2022
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Stochastic recovery rate: Impact of pricing measure’s choice and financial consequences on single-name products
P Gambetti, G Gauthier, F Vrins
New Methods in Fixed Income Modeling: Fixed Income Modeling, 181-203, 2018
委任: National Fund for Scientific Research, Belgium
Robust portfolio selection using sparse estimation of comoment tensors
N Lassance, F Vrins
Available at SSRN, 2019
委任: National Fund for Scientific Research, Belgium
Piecewise constant martingales and lazy clocks
C Profeta, F Vrins
Probability, Uncertainty and Quantitative Risk 4, 1-27, 2019
委任: National Fund for Scientific Research, Belgium
Asymmetric short-rate model without lower bound
F Vrins, L Wang
Quantitative Finance 23 (2), 279-295, 2023
委任: Australian Research Council, Belgian Science Policy Office
Optimal Portfolio Size under Parameter Uncertainty
R Vanderveken, N Lassance, F Vrins
LIDAM Discussion Papers LFIN, 2024
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Business Cycle and Realized Losses in the Consumer Credit Industry
F Roccazzella, W Distaso, FD Vrins
Available at SSRN 4663161, 2023
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
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