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Banking & Financial Market


Journal Articles


1. 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

2. 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

3. 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

4. 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

5. 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

6. 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

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. 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

10. 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

11. 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

12. 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

13. 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

14. 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

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. 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


Working Papers


1. Barbagli, Matteo; François, Pascal; Gauthier, Geneviève; Vrins, Frédéric. The role of CDS spreads in explaining bond recovery rates. 2024. 38 p. LIDAM Discussion Paper LFIN 2024/02. http://hdl.handle.net/2078.1/285741

2. Germain, Arnaud; Vrins, Frédéric. Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering. 2024. 41 p. LIDAM Discussion Paper LFIN 2024/06. http://hdl.handle.net/2078.1/292398

3. Vrins, Frédéric; Wang, Linqi. Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06. http://hdl.handle.net/2078.1/249984

4. Barbagli, Matteo; Vrins, Frédéric. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default. 2021. 40 p. LIDAM Discussion Paper LFIN 2021/09. http://hdl.handle.net/2078.1/250240

5. DeMiguel, Victor; Lassance, Nathan; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. 2021. 56 p. LIDAM Discussion Paper LFIN 2021/14. http://hdl.handle.net/2078.1/256995

6. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target Returns and Negative Interest Rates. 2021. 29 p. LIDAM Discussion Paper LFIN 2021/11. http://hdl.handle.net/2078.1/253623

7. D'Hondt, Catherine; El Hichou El Maya, Younes; Petitjean, Mikael. Blaming or praising passive ETFs?. 2021. 31 p. LIDAM Discussion Paper LFIN 2021/08. http://hdl.handle.net/2078.1/249987

8. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. 2021. 24 p. LIDAM Discussion Paper LFIN 2021/12. http://hdl.handle.net/2078.1/254713

9. Lassance, Nathan. Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13. http://hdl.handle.net/2078.1/255449

10. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05. http://hdl.handle.net/2078.1/249982

11. Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy; Efendic, Emir; Todorovic, Aleksandar. What leads people to tolerate negative interest rates on their savings?. 2020. 25 p. LFIN Working Paper 2020/05. http://hdl.handle.net/2078.1/228117

12. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael. The rise of fast trading: Curse or blessing for liquidity?. 2020. xxx xxx. http://hdl.handle.net/2078.1/207321