LSM
Place des Doyens 1/L2.01.01
1348 Louvain-la-Neuve
Assistant
LSM
Place des Doyens 1/L2.01.01
1348 Louvain-la-Neuve
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.
Barbagli, Matteo. Advances in credit risk management : extensions of the Basel ASRF framework and LGD empirical insights, prom. : Vrins, Frédéric, 24/09/2024.
Barbagli, Matteo ; François, Pascal ; Gauthier, Geneviève ; Vrins, Frédéric. The role of CDS spreads in explaining bond recovery rates (LIDAM Discussion Paper LFIN; 2024/02), 2024. 38 p.
Barbagli, Matteo ; Vrins, Frédéric. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default (LIDAM Discussion Paper LFIN; 2021/09), 2021. 40 p.