Banking & Financial Market

You will find below our recent publications in banking and financial market.


Journal Articles


1. Clausse, Emilien; Herr, Donovan; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In: Revue Bancaire et Financière, (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/254715

2. Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric. 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

3. 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 (Accepté/Sous presse). http://hdl.handle.net/2078.1/248132

4. Vrins, Frédéric; Mbaye, Cheikh. 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

5. 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

6. D'Hondt, Catherine; Roger, Tristan; Merli, Maxime. 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 (Accepté/Sous presse). http://hdl.handle.net/2078.1/251463

7. 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

8. De Winne, Rudy; Corneille, Olivier; Efendic, Emir; D'Hondt, Catherine. 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 (Accepté/Sous presse). http://hdl.handle.net/2078.1/245900

9. Petitjean, Mikael. Judging the functioning of equity markets in 2020: A bird's-eye (re)view. In: Bankers, Markets, and Investors, (2021). (Accepté/Sous presse). http://hdl.handle.net/2078.1/250457

10. Erdemlioglu, Deniz; Vargas, Nicolas; Petitjean, Mikael. 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

11. D'Hondt, Catherine; Petitjean, Mikael; Desagre, Christophe. The rise of fast trading: Curse or blessing for liquidity?. In: Finance : revue de l'Association française de finance, (2021). (Accepté/Sous presse). http://hdl.handle.net/2078.1/250456

12. De Winne, Rudy; Corneille, Olivier; Todorovic, Aleksandar; Efendic, Emir; D'Hondt, Catherine. 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 (Accepté/Sous presse). http://hdl.handle.net/2078.1/246607

13. Gambetti, Paolo; Brigo, Damiano; Bellotti, Anthony; 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

14. 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

15. 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

16. Gambetti, Paolo; Vrins, Frédéric; Gauthier, Geneviève. 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

17. Petitjean, Mikael; Mazza, Paolo. 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

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

19. Petitjean, Mikael; Mazza, Paolo. 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

20. 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

21. Vrins, Frédéric; Damiano Brigo. 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

22. 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

23. 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

24. Campello, Murillo; Zhang, Yue; Qiu, Jiaping; Gao, Janet. 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

25. Sokolov, Konstantin; Brogaard, Jonathan; Moyaert, Thibaut; Carrion, Allen; Riordan, Ryan; Shkilko, Andriy. 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

26. 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

27. 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

28. 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

29. 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

30. D'Hondt, Catherine; Mazza, Paolo; Majois, Christophe. 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

31. 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

32. 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; Vrins, Frédéric; Gauthier, Geneviève. 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; Vrins, Frédéric; Hvolby, Thomas. 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


Working Papers


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

2. 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

3. Clausse, Emilien; Herr, Donovan; 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

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

5. 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

6. 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

7. 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

8. Lassance, Nathan; DeMiguel, Victor; 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

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

10. Gambetti, Paolo; Brigo, Damiano; Bellotti, Anthony; 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

11. 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

12. De Winne, Rudy; Corneille, Olivier; Todorovic, Aleksandar; Efendic, Emir; D'Hondt, Catherine. 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

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

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

15. 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

16. 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

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

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

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

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

21. 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