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Banking & Financial Market


Journal Articles


1. Albert J. Menkveld; Anna Dreber; Felix Holzmeister; Juergen Huber; Magnus Johannesson; Michael Kirchler; Sebastian Neusüss; Michael Razen; Utz Weitzel; Hasse, Jean-Baptiste. Non-Standard Errors. In: The Journal of Finance, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/273312

2. Candelon, Bertrand; Hasse, Jean-Baptiste. Testing for Causality between Climate Policies and Carbon Emissions Reduction. In: Finance Research Letters, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/274417

3. Vrins, Frédéric. SVB, Crédit Suisse,. au suivant ?. In: Regards économiques, Vol. Focus, no. 30 (2023). doi:10.14428/regardseco2023.03.30.01. http://hdl.handle.net/2078.1/273898

4. Barbagli, Matteo; Vrins, Frédéric. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. In: Economic Modelling, Vol. 125, p. 106321 (2023). doi:10.1016/j.econmod.2023.106321. http://hdl.handle.net/2078.1/275625

5. Lassance, Nathan; Vrins, Frédéric; DeMiguel, Victor. Optimal portfolio diversification via independent component analysis. In: Operations Research, Vol. 70, no. 1, p. 55-72 (2022). doi:10.1287/opre.2021.2140. http://hdl.handle.net/2078.1/248130

6. Lassance, Nathan. Reconciling mean-variance portfolio theory with non-Gaussian returns. In: European Journal of Operational Research, Vol. 297, no. 2, p. 729-740 (2022). doi:10.1016/j.ejor.2021.06.016. http://hdl.handle.net/2078.1/248132

7. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael. The rise of fast trading: Curse or blessing for liquidity?. In: Finance : revue de l'Association française de finance, Vol. 43, p. 119-158 (2022). doi:10.3917/fina.pr.i. http://hdl.handle.net/2078.1/250456

8. D'Hondt, Catherine; Merli, Maxime; Roger, Tristan. What drives retail portfolio exposure to ESG factors?. In: Finance Research Letters, Vol. 46, no. Part B, p. 102470 (2022). doi:10.1016/j.frl.2021.102470. http://hdl.handle.net/2078.1/251463

9. Petitjean, Mikael. Judging the functioning of equity markets in 2020: A bird's-eye (re)view. In: Bankers, Markets, and Investors, Vol. 169, p. 1-11 (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/250457

10. Mbaye, Cheikh; Vrins, Frédéric. Affine term structure models: a time-change approach with perfect fit to market curves. In: Mathematical Finance, Vol. 32, no. 2, p. 678-724 (2022). doi:10.1111/mafi.12342. http://hdl.handle.net/2078.1/254447

11. Gambetti , Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-Learning Approaches for Recovery Rate Prediction. In: Risks, Vol. 10, no.6, p. 124 (2022). doi:10.3390/risks10060124. http://hdl.handle.net/2078.1/261877

12. Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas. Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks. In: Economic Modelling, Vol. 102, p. 105592 (2021). doi:10.1016/j.econmod.2021.105592 (Accepté/Sous presse). http://hdl.handle.net/2078.1/250451

13. Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy; Efendic, Emir; Todorovic, Aleksandar. What leads people to tolerate negative interest rates on their savings. In: Journal of Behavioral and Experimental Economics, Vol. 93, p. 101714 (2021). doi:10.1016/j.socec.2021.101714. http://hdl.handle.net/2078.1/246607

14. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In: Revue Bancaire et Financière, Vol. 3, p. 138-148 (2021). http://hdl.handle.net/2078.1/254715

15. Efendic, Emir; Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy. How risk-prone are people when facing a sure loss? Negative interest rates as a convenient conceptual framework. In: Psychonomic Bulletin & Review, Vol. 28, p. 1715–1725 (2021). doi:10.3758/s13423-021-01921-0. http://hdl.handle.net/2078.1/245900

16. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, Vol. 299, p. 23–46 (2021). doi:10.1007/s10479-019-03364-2. http://hdl.handle.net/2078.1/218951

17. Lassance, Nathan; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. In: Journal of Banking and Finance, Vol. 126, p. 106115 (2021). doi:10.1016/j.jbankfin.2021.106115. http://hdl.handle.net/2078.1/293652

18. Laly, Floris; Petitjean, Mikael. Mini flash crashes: Review, taxonomy and policy responses. In: Bulletin of Economic Research, Vol. 72, no.3, p. 251-271 (2020). doi:10.1111/boer.12221. http://hdl.handle.net/2078.1/250454

19. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. In: International Journal of Forecasting, Vol. 37, no. 1, p. 428-444. http://hdl.handle.net/2078.1/230633

20. Vrins, Frédéric. Advances in Credit Risk Modeling and Management. In: Risks, (2019). http://hdl.handle.net/2078.1/215467

21. Gambetti, Paolo; Gauthier, Geneviève; Vrins, Frédéric. Recovery rates: Uncertainty certainly matters. In: Journal of Banking & Finance, Vol. 106, no.9, p. 371-383 (2019). doi:10.1016/j.jbankfin.2019.07.010. http://hdl.handle.net/2078.1/218203

22. Petitjean, Mikael. Eco-friendly policies and financial performance:Was the financial crisis a game changer for large US companies?. In: Energy Economics, Vol. 80, no. Feb, p. 502-511 (2019). doi:10.1016/j.eneco.2019.01.028. http://hdl.handle.net/2078.1/214094

23. Mazza, Paolo; Petitjean, Mikael. Testing the effect of technical analysis on market quality and order book dynamics. In: Applied Economics, Vol. 51, no.18, p. 1947-1976 (2019). doi:10.1080/00036846.2018.1529404. http://hdl.handle.net/2078.1/212373

24. Vrins, Frédéric. Bannissement des produits dérivés: la bonne affaire ?. In: Regards économiques, no. 142, p. 1-15 (2018). http://hdl.handle.net/2078.1/207660

25. Campello, Murillo; Gao, Janet; Qiu, Jiaping; Zhang, Yue. Bankruptcy and the cost of organized labor: Evidence from union elections. In: The Review of Financial Studies, Vol. 31, no.3, p. 980-1013 (2018). doi:10.1093/rfs/hhx117. http://hdl.handle.net/2078.1/221037

26. Lassance, Nathan; Vrins, Frédéric. A Comparison of Pricing and Hedging Performances of Equity Derivatives Models. In: Applied Economics, Vol. 50, no. 10, p. 1122-1137 (2018). doi:10.1080/00036846.2017.1352080. http://hdl.handle.net/2078.1/186376

27. Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin. High frequency trading and extreme price movements. In: Journal of Financial Economics, Vol. 128, no.2, p. 253-265 (2018). doi:10.1016/j.jfineco.2018.02.002. http://hdl.handle.net/2078.1/197005

28. Damiano Brigo; Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018). http://hdl.handle.net/2078.1/196286

29. Mazza, Paolo; Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. In: Applied Economics, Vol. 50, no. 39, p. 4264-4274 (2018). doi:10.1080/00036846.2018.1441523. http://hdl.handle.net/2078.1/203431

30. Petitjean, Mikael. Le sauvetage des institutions financières a épargné plusieurs milliards d’euros aux pouvoirs publics. In: L'Écho : le quotidien de l'économie et de la finance, Vol. 2018, no.03 mars, p. 18 (2018). http://hdl.handle.net/2078.1/203434

31. Vrins, Frédéric. Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics. In: International Journal of Theoretical and Applied Finance, Vol. 20, no. 7:1750045 (2017). http://hdl.handle.net/2078.1/187277

32. D'Hondt, Catherine; Detollenaere, Benoît. Identifying Expensive Trades by Monitoring the Limit Order Book. In: Journal of Forecasting, Vol. 36, p. 273-290 (2017). doi:10.1002/for.2422. http://hdl.handle.net/2078.1/143317

33. Petitjean, Mikael. On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. In: Economic Modelling, Vol. 54, no.1, p. 67-81 (Avril 2016). doi:10.1016/j.econmod.2015.12.016. http://hdl.handle.net/2078.1/171607

34. Petitjean, Mikael. How integrated is the European carbon derivatives market?. In: Finance Research Letters, Vol. 15, no.1, p. 18-30 (Novembre 2015). doi:10.1016/j.frl.2015.07.005. http://hdl.handle.net/2078.1/171606

35. D'Hondt, Catherine; Majois, Christophe; Mazza, Paolo. Commonality on Euronext: Do Location and Account Type Matter?. In: International Review of Financial Analysis, Vol. 42, p. 183-198 (2015). http://hdl.handle.net/2078/165981

36. Boudt, Kris; Petitjean, Mikael. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. In: Journal of Financial Markets, Vol. 17, no.1, p. 121-149 (2014). doi:10.1016/j.finmar.2013.05.004. http://hdl.handle.net/2078.1/143093

37. De Winne, Rudy; Platten, Isabelle; Gresse, Carole. Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index. In: International Review of Financial Analysis, Vol. 34, p. 31-43 (2014). doi:10.1016/j.irfa.2014.04.003. http://hdl.handle.net/2078.1/159507

38. Petitjean, Mikael. Bank failures and regulation: a critical review. In: Journal of Financial Regulation and Compliance, Vol. 21, no.1, p. 16-38 (2013). doi:10.1108/13581981311297803. http://hdl.handle.net/2078.1/136068


Book Chapters


1. Gambetti, Paolo; Gauthier, Geneviève; Vrins, Frédéric. Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products. In: New Methods in Fixed Income Modeling , Springer International: USA, 2018, p. 181-203. 978-3-030-07008-3 / 978-3-319-95284-0. xxx xxx. http://hdl.handle.net/2078.1/196189

2. Brigo, Damiano; Hvolby, Thomas; Vrins, Frédéric. Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In: Innovations in Insurance, Risk- and Asset Management , Springer: Berlin, 2017. xxx xxx. http://hdl.handle.net/2078.1/190154