Projects

Topics

• Counterparty credit risk

• CDS/CDO and other credit derivatives pricing

• Recovery rate modeling

Papers on Recovery Rate Modeling

• Recovery rates: Uncertainty certainly matters

• Forecasting recovery rates on non-performing loans with machine learning

• Recovery rates: Uncertainty certainly matters

• SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions

• Piecewise constant martingales and lazy clocks

• Conic martingales from Stochastic integrals

• Stochastic recovery rate: impact of pricing measure's choice and financial consequences on single-name products 

Papers on Credit Valuation Adjustment

• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

• A subordinated CIR intensity model with application to wrong-way risk CVA

• Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics

• Stochastic recovery rate: impact of pricing measure's choice and financial consequences on single-name products 

• Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models

Credit derivatives

• Sibuya copulas

• Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework

• Double t Copula Pricing of Structured Credit Products : Practical Aspects of a Trustworthy Implementation

• On the Consistency of "European Proxy" of Structural Models for Credit Derivatives

• Credit default swaps: the quest of the hedge

• Stochastic recovery rate: impact of pricing measure's choice and financial consequences on single-name products 

Work in progress

• Asymptotic single-risk factor models with stochastic and correlated loss given default with Matteo Barbagli

Funding sources: 

• National Bank of Belgium

• F.S.R.-FNRS credit de recherche

Topics

• Forecasting

• Meta-learning

• Ensemble models

Related papers

• Forecasting recovery rates on non-performing loans with machine learning

• Optimal and robust combination of forecasts via constrained optimization and shrinkage 

Funding sources: 

• F.S.R.-FNRS (aspirant grant for P. Gambetti)

Topics

• Information-theoretical approaches

• High-dimensional approaches

Related papers

• Minimum Rényi entropy portfolios

• Portfolio selection with parsimonious comoments estimation

Working papers

• Robust portfolio selection using sparse estimation of comoment tensors with Lassance, Nathan (2019)

• Optimal Portfolio Diversification via Independent Component Analysis with V. DeMiguel and N. Lassance (2019)

Work in progress

• Portfolio selection: a target distribution approach with Nathan Lassance

Funding sources: 

• F.S.R.-FNRS (aspirant grant)

Topics

• Jump models

• Time-changed models

Related papers

• SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions

• Piecewise constant martingales and lazy clocks

• Conic martingales from Stochastic integrals

• An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES

• Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes

• Sibuya copulas

Topics

• Short rate dynamics

• Derivatives pricing

Work in progress

• A tractable skewed short rate model without lower bound with Linqi Wang

Funding sources: 

• Action de Recherche Concertée (ARC 18-23/089) project, Belgian Federal Science Policy Office (with O. Corneille, C. D'Hondt, C. Hafner and L. Iania)

Topics

• Local optima problems

• Multimodal sources

• Information-theoretic inequalities

• Portfolio theory

Related papers

• Portfolio selection with parsimonious comoments estimation

• Blind source separation based on endpoint estimation with application to the MLSP 2006 data competitionOn the risk of using Renyi's entropy for blind source separation

• Mixing and non-mixing local minima of the entropy contrast for blind source separation

• A minimum-range approach to blind extraction of bounded sources

• Minimum range approach to blind partial simultaneous separation of bounded sources: Contrast and discriminacy properties

• On the entropy minimization of a linear mixture of variables for source separation

• Information theoretic versus cumulant-based contrasts for multimodal source separation

• Local minima of information-theoretic criteria in blind source separation

• Is the general form of Renyi's entropy a contrast for source separation?

• Zero-entropy minimization for blind extraction of bounded sources (BEBS)

• Minimum support ICA using order statistics. Part II: Performance analysis

• Minimum support ICA using order statistics. Part I: Quasi-range based support estimation

• Filtering-free blind separation of correlated images

• Sensor array and electrode selection for non-invasive fetal electrocardiogram extraction by independent component analysis