Banking & Financial Market

Barbagli, M., François, P., Gauthier, G., & Vrins, F. (2025). The role of CDS spreads in explaining bond recovery rates. Journal of Banking & Finance, 174, 107414. https://doi.org/10.1016/j.jbankfin.2025.107414 (Original work published 2025)

Degryse, H., De Winne, R., Gresse, C., & Payne, R. (2025). Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets. Management science. Accepted/in-press. https://doi.org/10.1287/mnsc.2023.01789 (Original work published 2025)

Germain, A., & Vrins, F. (2025). Credit selection in collateralized loan obligation: Efficient approximation through linearization and clustering. European Journal of Operational Research. Accepted/in-press. https://doi.org/10.1016/j.ejor.2025.11.015 (Original work published 2025)

Candelon, B., & Hasse, J.-B. (2023). Testing for Causality between Climate Policies and Carbon Emissions Reduction. Finance Research Letters. Accepted/in-press. (Original work published 2023)

Barbagli, M., & Vrins, F. (2023). Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. Economic Modelling, 125, 106321. https://doi.org/10.1016/j.econmod.2023.106321 (Original work published 2023)

Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüss, Michael Razen, Utz Weitzel, Hasse, J.-B., & et al. (2023). Non-Standard Errors. The Journal of Finance. Accepted/in-press. (Original work published 2023)

Vrins, F. (2023). SVB, Crédit Suisse, ... au suivant ? Regards économiques, Focus(30). https://doi.org/10.14428/regardseco2023.03.30.01 (Original work published 2023)

Desagre, C., D’Hondt, C., & Petitjean, M. (2022). The rise of fast trading: Curse or blessing for liquidity? Finance : revue de l’Association française de finance, 43, 119-158. https://doi.org/10.3917/fina.pr.i (Original work published 2022)

Lassance, N., Vrins, F., & DeMiguel, V. (2022). Optimal portfolio diversification via independent component analysis. Operations research, 70(1), 55-72. https://doi.org/10.1287/opre.2021.2140 (Original work published 2022)

Mbaye, C., & Vrins, F. (2022). Affine term structure models: a time-change approach with perfect fit to market curves. Mathematical Finance, 32(2), 678-724. https://doi.org/10.1111/mafi.12342 (Original work published 2022)

Lassance, N. (2022). Reconciling mean-variance portfolio theory with non-Gaussian returns. European Journal of Operational Research, 297(2), 729-740. https://doi.org/10.1016/j.ejor.2021.06.016 (Original work published 2022)

Petitjean, M. (2022). Judging the functioning of equity markets in 2020: A bird’s-eye (re)view. Bankers, Markets, and Investors, 169, 1-11. (Original work published 2022)

D’Hondt, C., Merli, M., & Roger, T. (2022). What drives retail portfolio exposure to ESG factors? Finance Research Letters, 46(Part B), 102470. https://doi.org/10.1016/j.frl.2021.102470 (Original work published 2022)

Lassance, N., & Vrins, F. (2021). Portfolio selection with parsimonious higher comoments estimation. Journal of Banking & Finance, 126, 106115. https://doi.org/10.1016/j.jbankfin.2021.106115 (Original work published 2021)

Corneille, O., D’Hondt, C., De Winne, R., Efendic, E., & Todorovic, A. (2021). What leads people to tolerate negative interest rates on their savings. Journal of Behavioral and Experimental Economics, 93, 101714. https://doi.org/10.1016/j.socec.2021.101714 (Original work published 2021)

Herr, D., Clausse, E., & Vrins, F. (2021). Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? Revue Bancaire et Financière, 3, 138-148. (Original work published 2021)

Efendic, E., Corneille, O., D’Hondt, C., & De Winne, R. (2021). How risk-prone are people when facing a sure loss? Negative interest rates as a convenient conceptual framework. Psychonomic Bulletin & Review, 28, 1715-1725. https://doi.org/10.3758/s13423-021-01921-0 (Original work published 2021)

Erdemlioglu, D., Petitjean, M., & Vargas, N. (2021). Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks. Economic Modelling, 102, 105592. https://doi.org/10.1016/j.econmod.2021.105592 (Original work published 2021)

Laly, F., & Petitjean, M. (2020). Mini flash crashes: Review, taxonomy and policy responses. Bulletin of Economic Research, 72(3), 251-271. https://doi.org/10.1111/boer.12221 (Original work published 2020)