Banking & Financial Market
lfin |
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2025Barbagli, M., & Vrins, F. (2025). Efficient Monte Carlo estimation of credit concentration risk (LIDAM Discussion Paper LFIN 2025/03).
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2024Barbagli, M., François, P., Gauthier, G., & Vrins, F. (2024). The role of CDS spreads in explaining bond recovery rates (LIDAM Discussion Paper LFIN 2024/02).
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Germain, A., & Vrins, F. (2024). Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering (LIDAM Discussion Paper LFIN 2024/06).
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2021D’Hondt, C., El Hichou El Maya, Y., & Petitjean, M. (2021). Blaming or praising passive ETFs? (LIDAM Discussion Paper LFIN 2021/08).
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Vrins, F., & Wang, L. (2021). Asymmetric short-rate model without lower bound (LIDAM Discussion Paper LFIN 2021/06).
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Lassance, N., & Vrins, F. (2021). Portfolio Selection: A Target-Distribution Approach (LIDAM Discussion Paper LFIN 2021/05).
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Lassance, N. (2021). Maximizing the Out-of-Sample Sharpe Ratio (LIDAM Discussion Paper LFIN 2021/13).
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DeMiguel, V., Lassance, N., & Vrins, F. (2021). Optimal portfolio diversification via independent component analysis (LIDAM Discussion Paper LFIN 2021/14).
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Barbagli, M., & Vrins, F. (2021). Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default (LIDAM Discussion Paper LFIN 2021/09).
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D’Hondt, C., De Winne, R., & Todorovic, A. (2021). Target Returns and Negative Interest Rates (LIDAM Discussion Paper LFIN 2021/11).
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Herr, D., Clausse, E., & Vrins, F. (2021). Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? (LIDAM Discussion Paper LFIN 2021/12).
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2020Corneille, O., D’Hondt, C., De Winne, R., Efendic, E., & Todorovic, A. (2020). What leads people to tolerate negative interest rates on their savings? (LFIN Working Paper 2020/05).
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Desagre, C., D’Hondt, C., Petitjean, M., & et al. (2020). The rise of fast trading: Curse or blessing for liquidity?
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