Frédéric Vrins
YOU?
Author Swipe
View article: Business cycle and realized losses in the consumer credit industry
Business cycle and realized losses in the consumer credit industry Open
We investigate the determinants of losses given default (LGD) in consumer credit. Utilizing a unique dataset encompassing over 6 million observations of Italian consumer credit over a long time span, we find that macroeconomic and social (…
View article: Electrode Selection for Noninvasive Fetal Electrocardiogram Extraction using Mutual Information Criteria
Electrode Selection for Noninvasive Fetal Electrocardiogram Extraction using Mutual Information Criteria Open
Blind source separation (BSS) techniques have revealed to be promising approaches for, among other, biomedical signal processing applications. Specifically, for the noninvasive extraction of fetal cardiac signals from maternal abdominal re…
View article: On the Combination of Naive and Mean-Variance Portfolio Strategies
On the Combination of Naive and Mean-Variance Portfolio Strategies Open
We study how to best combine the sample mean-variance portfolio with the naive equally weighted portfolio to optimize out-of-sample performance. We show that the seemingly natural convexity constraint—the two combination coefficients must …
View article: Asymmetric short-rate model without lower bound
Asymmetric short-rate model without lower bound Open
We propose a new short-rate process which appropriately captures the salient features of the negative interest rate environment. The model combines the advantages of the Vasicek and Cox–Ingersoll–Ross (CIR) dynamics: it is flexible, tracta…
View article: Meta-Learning Approaches for Recovery Rate Prediction
Meta-Learning Approaches for Recovery Rate Prediction Open
While previous academic research highlights the potential of machine learning and big data for predicting corporate bond recovery rates, the operations management challenge is to identify the relevant predictive variables and the appropria…
View article: Affine term structure models: A time‐change approach with perfect fit to market curves
Affine term structure models: A time‐change approach with perfect fit to market curves Open
We address the so‐called calibration problem , which consists of fitting in a tractable way a given model to a specified term structure such as yield, prepayment or default probability curves. Time‐homogeneous affine jump diffusions (HAJD)…
View article: A general firm value model under partial information
A general firm value model under partial information Open
We introduce a new structural default model which purpose is to combine enhanced economic relevance and affordable computational complexity. Our approach exploits the information conveyed by a noisy observation of the firm value combined w…
View article: Conditional survival probabilities under partial information: a recursive quantization approach with applications
Conditional survival probabilities under partial information: a recursive quantization approach with applications Open
International audience
View article: Optimal Portfolio Diversification via Independent Component Analysis
Optimal Portfolio Diversification via Independent Component Analysis Open
A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk meas…
View article: Advances in Credit Risk Modeling and Management
Advances in Credit Risk Modeling and Management Open
Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for w…
View article: Optimal and Robust Combination of Forecasts via Constrained Optimization and Shrinkage
Optimal and Robust Combination of Forecasts via Constrained Optimization and Shrinkage Open
Combining forecasts formed by various models can substantially improve the prediction performances compared to those obtained from the individual models. Standard combination approaches consist in a forecast selection step followed by a we…
View article: Forecasting recovery rates on non-performing loans with machine learning
Forecasting recovery rates on non-performing loans with machine learning Open
We compare the performances of a wide set of regression techniques and machine learning algorithms for predicting recovery rates on non-performing loans, using a private database from a European debt collection agency. We find that rule-ba…