Banking & Financial Market


Journal Articles


1. 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

2. 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

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

4. 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

5. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, (2019). doi:10.1007/s10479-019-03364-2 (Accepté/Sous presse). http://hdl.handle.net/2078.1/218951

6. 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

7. 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

8. 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 (Accepté/Sous presse). http://hdl.handle.net/2078.1/197005

9. 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

10. 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

11. 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

12. 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

13. 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

14. 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

15. 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

16. 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

17. 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

18. 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

19. 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

20. 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. 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. http://hdl.handle.net/2078.1/190154


Working Papers


1. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning (xxx), 2020. 36 p. http://hdl.handle.net/2078.1/228115

2. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction (xxx), 2020. 30 p. http://hdl.handle.net/2078.1/229301

3. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity (xxx), 2019. http://hdl.handle.net/2078.1/214852

4. Lassance, Nathan; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors (xxx), 2019. 25 p. http://hdl.handle.net/2078.1/223396

5. Roccazzella, Francesco. Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Slovenian data (xxx), 2019. 41 p. http://hdl.handle.net/2078.1/221790

6. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios (xxx), 2019. 33 p. http://hdl.handle.net/2078.1/211168

7. Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics (xxx), 2018. 23 p. http://hdl.handle.net/2078.1/196937

8. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks (xxx), 2017. 18 p. http://hdl.handle.net/2078.1/190145

9. D'Hondt, Catherine; Mazza, Paolo; Majois, Christophe. Commonality on Euronext: Do Location and Account Type Matter? (xxx), 2014. http://hdl.handle.net/2078.1/143315

10. De Winne, Rudy; Gresse, Carole; Platten, Isabelle. Liquidity and Risk Sharing Benefits from the Introduction of an ETF (xxx), 2012. 46 p. http://hdl.handle.net/2078/113736