Banking & Financial Market

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

13. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. 2020. 36 p. LFIN Working Paper 2020/02. http://hdl.handle.net/2078.1/228115

14. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction. 2020. 30 p. LFIN Working Paper 2020/07. http://hdl.handle.net/2078.1/229301

15. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. 2019. 33 p. CORE Discussion Paper 2019/01. http://hdl.handle.net/2078.1/211168

16. Lassance, Nathan; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors. 2019. 25 p. LFIN Working Paper 2020/03. http://hdl.handle.net/2078.1/223396

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

18. Roccazzella, Francesco. Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Slovenian data. 2019. 41 p. LFIN Working Papers 2019/4. http://hdl.handle.net/2078.1/221790

19. Weber, Matthias; Striaukas, Jonas; Schumacher, Martin; Binder, Harald. Network constrained covariate coefficient and connection sign estimation. 2018. 20 p. CORE Discussion Paper 2018/18. http://hdl.handle.net/2078.1/200683

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

21. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. 2017. 18 p. CORE Discussion Paper 2017/31. http://hdl.handle.net/2078.1/190145

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

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