LONGIN François

François Longin - Financial innovation

Dr François Longin pursues a career in banking and finance by allying research, consulting and training.

François Longin graduated from the engineering school Ecole Nationale des Ponts et Chaussées in 1990 and from the PhD Program at HEC Graduate School of Management in 1993. His thesis was about extreme movements in financial markets such as stock market crashes. He then conducted research on financial markets at New York University and London Business School.

François's main research interest lies in extreme events in finance such as stock market crashes. For many years he has been working on the applications of extreme value theory to financial markets : the statistical distribution of extreme returns, the setting of margins in derivatives markets, the impact of financial regulation on market volatility, the improvement of portfolio management techniques during highly volatile periods, the computation of value at risk for market positions, the definition of catastrophe scenarios for stress testing... His research has been applied by financial institutions in the risk management area (market, credit and operational risks). He received the Chicago Board of Trade award for his research on derivative products. Some of his research works can be found in scientific journals such as The Journal of Finance, Journal of Business, Review of Financial Studies, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Futures Markets, Journal of Derivatives and Journal of Asset Management.

François has worked for many years as managing director of a research and innovation department in a leading international financial institution where he managed a team of financial engineers working for the bank trading rooms and asset management firms. He is currently a financial consultant and his domain of expertise covers risk management for financial institutions, portfolio management for asset management firms, financial management for non-financial firms and wealth management for individuals. He aslo animates FinLink, which is a professional network specialized in the banking, insurance and finance sectors.

François Longin has been a professor of finance at ESSEC School of Business since 1994.

For more information about François Longin please look at François Longin FinLink profile

To follow resaerch publications by Professor Longin please look at François Longin Google Scholar profile

For a detailed presentation of Professor Longin's activities please visit Longin Inside

• 1993 : PhD (HEC Paris, France)
• 1990 : Graduate (École Nationale des Ponts et Chaussées, France)

Full-time academic appointments

• 1999 - Present : Professor (ESSEC Business School, France)
• 1996 - 1999 : Associate Professor (ESSEC Business School, France)
• 1994 - 1996 : Assistant Professor (ESSEC Business School, France)

Other Academic Appointments

• 2009 - Present : Academic director of ESSEC Wealth Management track (ESSEC Business School, France)
• 2019 - 2025 : Head of the Finance Department (ESSEC Business School, France)
• 2005 : Visiting Professor (University College of Dublin, Ireland)
• 1993 - 1994 : Post-doctoral researcher (London Business School, United Kingdom)
• 1992 - 1993 : Visiting scholar (Leonard N. Stern School of Business, United States of America)

Professional appointments

• 1994 - Present : Consultant for financial institutions (Banks, France)
• 1999 - 2003 : Managing Director of the Research and Innovation Department (HSBC Continental Europe, France)

• 1996 : Award of the Chicago Board of Trade for the research on derivative products "Winning in the best and worst of times : boom and crash options"

• 2015 : Labex grant and financial support from the industry for organizing ESSEC conference on Extreme Events in Finance extreme-events-finance.net

• KONSTANTINOS, G. and LONGIN, F. (2018). Financial Market Activity under Capital Controls: Lessons from Extreme Events. Economics Letters, 171, pp. 10-13.
• LONGIN, F. and PAGLIARDI, G. (2016). Tail Relation Between Return and Volume in the US Stock Market: An Analysis Based on Extreme Value Theory. Economics Letters, 145, pp. 252-254.
• LONGIN, F. (2016). Turbulence: When the Bubble Bursts. Reflets Hors-Série ESSEC Knowledge, (2), pp. 94-96.
• LONGIN, F. (2009). Investissez en fonction de vos besoins. Finance management, (33), pp. 24-26.
• LONGIN, F. (2005). The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help? Journal of Banking and Finance, pp. 1017.
• LONGIN, F. and MARTIN, G. (2003). Asset Management. Measuring the Operational Risk of Fund Valuation Companies. Risk, pp. 12-15.
• LONGIN, F. (2003). Guaranteed Fund. Presentation and Management Techniques. La Revue de l'AFPEN, pp. 55-68.
• LONGIN, F. (2003). Les innovations financières. PCM - Le Pont, pp. 14-17.
• LONGIN, F. (2003). Les innovations financières. Banque Magazine, pp. 34-37.
• LONGIN, F. and MARTIN, G. (2003). Quantifying the Op Risk in Investment Fund Valuation. Risk, pp. 15-17.
• LONGIN, F. (2002). Introduction to Extreme Events in Finance. Finance, pp. 9-13.
• LONGIN, F. and MARTIN, G. (2002). La mesure du risque opérationnel des sociétés de valorisation d'OPCVM. Banque Magazine, pp. 60-64.
• LONGIN, F. (2001). Beyond the VaR. Journal of Derivatives, pp. 36-48.
• LONGIN, F. and SOLNIK, B. (2001). Extreme Correlation of International Equity Markets. Journal of Finance, 56(2), pp. 649-676.
• LONGIN, F. (2001). Pension Funds and Stock Market Crashes. La Revue de l'AFPEN, pp. 5-12.
• LONGIN, F. (2001). Portfolio Insurance and Market Crashes. Journal of Asset Management, pp. 136-161.
• LONGIN, F. (2001). Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory. Journal of Derivatives and Hedge Funds, pp. 197-205.
• LONGIN, F. (2000). Capital Requirement: A New Method Based on Extreme Price Variations. Journal of Risk Finance, pp. 42-50.
• LONGIN, F. (2000). Extreme Value Theory: Issues for the New Millenium. Journal of Derivatives and Hedge Funds, pp. 230-237.
• LONGIN, F. (2000). Extreme Value Theory: Presentation and Application to the US Equity Market. La Revue de l'AFPEN, pp. 19-25.
• LONGIN, F. (2000). From Value at Risk to Stress Testing: The Extreme Value Approach. Journal of Banking and Finance, pp. 1097-1130.
• LONGIN, F. (1999). Optimal Margin Level in Future Markets: Extreme Price Movements. Journal of Futures Markets, pp. 127-152.
• BOULIER, J.F. and LONGIN, F. (1999). Risques extrêmes sur les marchés financiers. Risques, pp. 80-84.
• BOULIER, J.F., DALAUD, R. and LONGIN, F. (1998). Application de la Théorie des Valeurs Extrêmes aux Marchés Financiers. Bankers, Markets and Investors.
• LONGIN, F. (1998). Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes. Annales d'Économie et de Statistique, pp. 23-51.
• LONGIN, F. (1997). The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information. Review of Financial Studies, pp. 837-869.
• BALDUZZI, P., KALLAL, H. and LONGIN, F. (1996). Minimal Returns and the Breakdown of the Price-volume Relation. Economics Letters, pp. 265-269.
• LONGIN, F. (1996). The Asymptotic Distribution of Extreme Stock Market Returns. Journal of Business, pp. 383-408.
• LONGIN, F. and SOLNIK, B. (1995). Is the Correlation in International Equity Returns Constant : 1960-1990 ? Journal of International Money and Finance, pp. 3-26.
• LONGIN, F. (1995). La théorie des valeurs extrêmes : présentation et premières applications en finance. Journal de la Société Française de Statistique & Revue de statistique appliquée, pp. 77-97.
• LONGIN, F. (1995). Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider. Finance, pp. 25-48.

• LONGIN, F. [Ed] (2016). Extreme Events in Finance: Handbook of Extreme Value Theory and Its Applications. Wiley.
• LONGIN, F. [Ed] (2012). Gestion de patrimoine : clés et outils. ESSEC Business School.

• LONGIN, F. (2018). La complexité sur les marchés financiers. In: Complexité et organisations : faire face aux défis de demain. 1st ed. Eyrolles, pp. 259-272.
• LONGIN, F. (2012). L'investissement immobilier. In: Gestion de patrimoine : clés et outils. 1st ed. ESSEC Business School.
• LONGIN, F. (2009). Expliquer la crise actuelle : le changement du business model des banques. In: Le leadership responsable. Un allié sûr contre la crise. 1st ed. Gualino. Lextenso éditions, pp. 225-232.
• LONGIN, F. (2001). Measuring Extreme Movements in Foreign Exchange Markets: Application of Extreme Value Theory to Stress Testing. In: Global Financial Markets at the Turn of the Century. 1st ed. Pergamon, pp. 310-320.
• LONGIN, F. (2000). From Value-at-risk to Stress-testing: the Extreme Value Approach. In: Extremes and Integrated Risk Management. 1st ed. Risk Books, pp. 125-148.

• ABOU SALEH, D., LACOSTE, V. and LONGIN, F. (2003). Term Capital-guaranteed Fund Management: The Option Method vs. The Cushion Method. In: Proceedings of AFFI - Lyon 2003. ISFA Lyon.
• LONGIN, F. (2000). Beyond the VaR. In: Les Journées Internationales de l'AFFI (CD-Rom). ESCP-EAP.
• LONGIN, F. (1999). Correlation of Foreign Exchange Markets: an Extreme Value Study. In: Globalization in the 21st Century. International Trade and Finance Association (ITFA), pp. 15-32.
• LONGIN, F. and SOLNIK, B. (1999). Correlation of International Equity Markets during Extremely Volatile Periods. In: Actes de la Conférence de l'AFFI. Université d'Aix-en-Provence, pp. 1-26.
• CHEVALLIER, A. and LONGIN, F. (1999). Coût d'investissement à la Bourse de Paris. In: Actes de la conférence de l'AFFI. Université d'Aix-en-Provence, pp. 1-25.
• LONGIN, F. (1998). Stress-Testing: Application of Extreme Value Theory to Foreign Exchange Markets. In: The Global Economy at the Turn of the Century-Volume II International Trade. pp. 601-615.
• LONGIN, F. (1998). Value at Risk and Extreme Values. In: CEFES'98. Financial Management Association (FMA), pp. 1-5.
• CHANG, K. and LONGIN, F. (1997). Evaluating the Probability of an Extreme Price Movement : Different Approaches. In: 14e Conférence Internationale de Finance. Université Pierre Mendes France, Grenoble, pp. 1-15.
• LONGIN, F. (1997). Value at Risk : Une nouvelle méthode fondée sur la théorie des valeurs extrêmes. In: 14e Conférence Internationale de Finance. Université Pierre Mendes France, Grenoble, pp. 1-31.
• LONGIN, F. (1996). Winning in the Best and Worst of Times : Boom and Crash Options. In: Proceedings of 13th International Conference of the French Finance Association. Association Française de Finance (AFFI), pp. 1-40.
• LONGIN, F. (1995). Optimal Margin Levels in Futures Markets : A Parametric Extreme-based Method. In: Research Symposium Proceedings. Chicago Board of Trade, pp. 223-268.

• LONGIN, F. and SANTACREU VASUT, E. (2019). CEO Nomination and Gender Leadership Stereotypes: Evidence from Lab Experiments. In: 2019 European Economics Association Meeting (EEA-ESEM 2019).
• LONGIN, F. and SANTACREU VASUT, E. (2019). CEO Nomination and Gender Leadership Stereotypes: Evidence from Lab Experiments. In: 3rd Meetings of Society of Economics of the Household (SEHO). Lisbon.
• KONSTANTINOS, G. and LONGIN, F. (2019). Is Bitcoin the New Digital Gold? In: 2019 International Risk Management Conference (IRMC). Milan.
• KONSTANTINOS, G. and LONGIN, F. (2019). Is Bitcoin the New Digital gold? In: 2019 Paris Financial Management Conference (PFMC2019).
• LONGIN, F. and PAGLIARDI, G. (2014). Price-Volume Relationsship: An Extreme Point of View. In: Conference on Extreme Events in Finance.
• LONGIN, F. and SOLNIK, B. (2000). Extreme Correlation of International Equity Market.
• LONGIN, F. (1996). Etude de la loi statistique de la volatilité.
• LONGIN, F. (1994). Optimal Margins in Futures Markets.
• LONGIN, F. (1994). The Margin-volatility Relation : An Extreme-based Approach.

• CHEVALLIER, A. and LONGIN, F. (1999). Coût d'investissement à la Bourse de Paris. ESSEC Business School.
• BOULIER, J.F., DALAUD, R. and LONGIN, F. (1997). Application de la théorie des valeurs extrêmes aux marchés financiers. ESSEC Business School.
• LONGIN, F. (1997). Beyond the VaR. ESSEC Business School.
• LONGIN, F. and SOLNIK, B. (1997). Dependences Structure of International Equity Markets during Extremely Volatile Periods. ESSEC Business School.
• LONGIN, F. (1997). From Value at Risk to Stress Testing: The Extreme Value Approach. ESSEC Business School.
• LONGIN, F. (1997). Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements. ESSEC Business School.
• LONGIN, F. (1997). Stress Testing : Application de la théorie des valeurs extrêmes aux marchés des changes. ESSEC Business School.
• LONGIN, F. (1997). Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes. ESSEC Business School.
• LONGIN, F. (1996). Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider. ESSEC Business School.
• LONGIN, F. (1996). Winning in the Best and Worst of Times : Boom and Crash Options (prix Chicago Board of Trade pour le meilleur article sur les options et futures). ESSEC Business School.
• LONGIN, F. (1994). The Margin-Volatility Relation: A Test Based on Extreme Price Movements.
• LONGIN, F. (1993). Booms and Crashes: Applications of Extreme Value Theory to the US Stock Market.

• SANTACREU VASUT, E. and LONGIN, F. (2021). Gender Equality In Finance. ESSEC Knowledge.
• LONGIN, F. and ROUGEOT, L. (2011). CIF une activité très encadrée (2e partie). L'As Patrimonial, pp. 58-59.
• LONGIN, F. and ROUGEOT, L. (2010). CIF une activité très encadrée. L'As Patrimonial, pp. 54-55.
• LONGIN, F. (2010). Evènements extrêmes en finance. Mieux comprendre pour mieux prévoir. L'As Patrimonial, pp. 46-47.
• LONGIN, F. (2010). Le directeur financier, créateur de valeur et co-pilote de l'entreprise. Finance Grandes Ecoles, pp. 17.
• LONGIN, F. (2009). Le prix des actifs financiers. Quelques clés pour en comprendre la formation. L'As Patrimonial, pp. 48-49.
• LONGIN, F. (2008). Investissements dans les PME. Contraintes et avantages de la loi Dutreil. L'As Patrimonial, pp. 88-90.
• LONGIN, F. (2008). Vendre plus et vendre mieux (Interview). L'As Patrimonial, pp. 95.