Essec\Faculty\Model\Profile {#2216
#_id: "B00000328"
#_source: array:40 [
"bid" => "B00000328"
"academId" => "2062"
"slug" => "longin-francois"
"fullName" => "François LONGIN"
"lastName" => "LONGIN"
"firstName" => "François"
"title" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"email" => "longin@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => "+33 (0)1 34 43 30 40"
"sites" => []
"facNumber" => "2062"
"externalCvUrl" => "https://faculty.essec.edu/en/cv/longin-francois/pdf"
"googleScholarUrl" => "https://scholar.google.com/citations?user=v0Xy5skAAAAJ"
"facOrcId" => "https://orcid.org/0000-0003-2879-6904"
"career" => array:10 [
0 => Essec\Faculty\Model\CareerItem {#2234
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1994-09-01"
"endDate" => "1996-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur assistant"
"en" => "Assistant Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\CareerItem {#2235
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1996-09-01"
"endDate" => "1999-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur associé"
"en" => "Associate Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
2 => Essec\Faculty\Model\CareerItem {#2236
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1999-09-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
3 => Essec\Faculty\Model\CareerItem {#2237
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2019-09-01"
"endDate" => "2025-09-30"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
]
"label" => array:2 [
"fr" => "Responsable du département Finance"
"en" => "Head of the Finance Department"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
4 => Essec\Faculty\Model\CareerItem {#2238
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1992-09-01"
"endDate" => "1993-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Chercheur visitant"
"en" => "Visiting scholar"
]
"institution" => array:2 [
"fr" => "Leonard N. Stern School of Business"
"en" => "Leonard N. Stern School of Business"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
5 => Essec\Faculty\Model\CareerItem {#2239
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1993-09-01"
"endDate" => "1994-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
]
"label" => array:2 [
"fr" => "Chercheur post-doctoral"
"en" => "Post-doctoral researcher"
]
"institution" => array:2 [
"fr" => "London Business School"
"en" => "London Business School"
]
"country" => array:2 [
"fr" => "Royaume-Uni"
"en" => "United Kingdom"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
6 => Essec\Faculty\Model\CareerItem {#2240
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1999-01-01"
"endDate" => "2003-12-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Professional appointments"
"fr" => "Positions professionnelles"
]
"label" => array:2 [
"fr" => "Directeur de la Recherche et de l'Innovation"
"en" => "Managing Director of the Research and Innovation Department"
]
"institution" => array:2 [
"fr" => "HSBC Continental Europe"
"en" => "HSBC Continental Europe"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
7 => Essec\Faculty\Model\CareerItem {#2241
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2005-07-01"
"endDate" => "2005-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Professeur visitant"
"en" => "Visiting Professor"
]
"institution" => array:2 [
"fr" => "University College of Dublin"
"en" => "University College of Dublin"
]
"country" => array:2 [
"fr" => "Irlande"
"en" => "Ireland"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
8 => Essec\Faculty\Model\CareerItem {#2242
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2009-09-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Responsable académique de la formation ESSEC gestion de patrimoine"
"en" => "Academic director of ESSEC Wealth Management track"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
9 => Essec\Faculty\Model\CareerItem {#2243
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1994-09-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
"en" => "Professional appointments"
"fr" => "Positions professionnelles"
]
"label" => array:2 [
"fr" => "Consultant auprès d'institutions financières"
"en" => "Consultant for financial institutions"
]
"institution" => array:2 [
"fr" => "Banques"
"en" => "Banques"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"diplomes" => array:2 [
0 => Essec\Faculty\Model\Diplome {#2218
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1993"
"label" => array:2 [
"en" => "PhD"
"fr" => "Doctorat en Economie"
]
"institution" => array:2 [
"fr" => "HEC Paris"
"en" => "HEC Paris"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\Diplome {#2220
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1990"
"label" => array:2 [
"en" => "Graduate"
"fr" => "Diplômé"
]
"institution" => array:2 [
"fr" => "École Nationale des Ponts et Chaussées"
"en" => "École Nationale des Ponts et Chaussées"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"bio" => array:2 [
"fr" => """
<p><b>François Longin - L'innovation financière</b></p>\n
\n
<p>François Longin est professeur de finance à l'ESSEC depuis 1994. Il poursuit une carrière dans le domaine de la banque et de la finance en alliant recherche, conseil et formation.</p>\n
\n
<p>Diplômé de l'Ecole Nationale des Ponts et Chaussées en 1990, il obtient son doctorat en financeà HEC en 1993. Sa thèse traite des mouvements extrêmes des marchés financiers tels que les krachs boursiers. Il a ensuite mené des recherches sur la volatilité des marchés financiersà l'Université de New York età la London Business School. Il est aussi titulaire d'un DEA de Probabilité de Paris VI et agrégé de mathématiques.</p>\n
\n
<p>Ses travaux de recherche portent principalement sur les événements extrêmes en finance et sur les applications financières de la théorie des valeurs extrêmes : la distribution statistique des rentabilités extrêmes, les dépôts de garantie sur les marchés dérivés, l'impact de la réglementation financière sur la volatilité des marchés financiers, l'amélioration des techniques de gestion de portefeuille en période de crise, le calcul de la value at risk (VaR) de positions de marché, la définition de scénarios catastrophe pour le stress testing... Ses travaux de recherche ont été appliqués par les institutions financières pour leur gestion des risques bancaires (marchés, crédit et opérationnels). Il a reçu le prix de la bourse américaine Chicago Board of Trade pour sa recherche sur les produits dérivés. Ses travaux ont été publiés dans des journaux scientifiques internationaux comme 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 et Journal of Asset Management.</p>\n
\n
<p>Pendant plusieurs années, il est en charge de la direction de la recherche et de l'innovation dans un grand groupe bancaire international où il encadre une équipe d'ingénieurs financiers travaillant pour les salles de marchés et les sociétés de gestion. Son domaine d'expertise et de conseil couvre la gestion des risques pour les institutions financières, la gestion de portefeuille pour les sociétés de gestion, la gestion financière pour les entreprises et la gestion de patrimoine pour les particuliers. François Longin anime aussi le réseau professionnel <a href="http://www.finlink.net/" target="_blank">FinLink</a> spécialisé dans les secteurs Banque Assurance Finance. Il participe aussi au projet <a href="http://www.simtrade.fr" target="_blank">SimTrade</a>, site de simulation de trading sur les marchés financiers.</p>\n
\n
<p>Pour plus d'information sur François Longin merci de visiter <a href="http://www.finlink.net/2-francois-longin" target="_blank">le profil de François Longin sur FinLink</a></p>\n
\n
<p>Pour suivre les publications de recherche du Professeur Longin merci de visiter <a href="http://scholar.google.fr/citations?user=v0Xy5skAAAAJ" target="_blank">le profil de François Longin sur Google Scholar</a></p>\n
\n
<p>Pour une présentation détaillée des activités du Professeur Longin merci de visiter le site professionnel : <a href="http://www.longin.fr/" target="_blank">Longin Inside</a></p>
"""
"en" => "<p>François Longin - Financial innovation </p><p>Dr François Longin pursues a career in banking and finance by allying research, consulting and training.</p><p>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.</p><p>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.</p><p>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 <a href="http://www.finlink.net/mod/static/index.php?lang=en_GB&page=index&subpage=" target="_blank">FinLink</a>, which is a professional network specialized in the banking, insurance and finance sectors.</p><p>François Longin has been a professor of finance at ESSEC School of Business since 1994.</p><p>For more information about François Longin please look at <a href="http://www.finlink.net/2-francois-longin:en_GB" target="_blank">François Longin FinLink profile</a> </p><p>To follow resaerch publications by Professor Longin please look at <a href="http://scholar.google.fr/citations?user=v0Xy5skAAAAJ" target="_blank">François Longin Google Scholar profile</a></p><p>For a detailed presentation of Professor Longin's activities please visit <a href="http://www.longin.fr/accueil_us.php" target="_blank">Longin Inside</a></p>"
]
"department" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"site" => array:2 [
"fr" => null
"en" => null
]
"industrrySectors" => array:2 [
"fr" => null
"en" => null
]
"researchFields" => array:2 [
"fr" => "Les événements extrêmes en finance - gestion de patrimoine - institutions financières - Econométrie - modélisation financières - Marchés financieres - Gestion des risques - Théorie de la valeur extrême - Volatilité des marchés financiers - la gestion des risques pour les institutions financières - la gestion de portefeuille pour les sociétés de gestion - la gestion financière pour les entreprises et la gestion de patrimoine pour les particuliers. - marchés dérivés - impact de la réglementation financière sur la volatilité des marchés financiers"
"en" => "Extreme events in finance - Wealth management - institutions financières - Econometrics - financial modelling - Financial Markets - Risk management - Extreme value theory - Volatility of financial markets - Risk management for financial institutions - portfolio management for asset management companies - financial management for companies and wealth management for individuals. - derivative markets - impact of financial regulation on financial market volatility"
]
"teachingFields" => array:2 [
"fr" => "Autre domaine - Développement durable"
"en" => "Other teaching domain - Sustainable development"
]
"distinctions" => array:2 [
0 => Essec\Faculty\Model\Distinction {#2244
#_index: null
#_id: null
#_source: array:6 [
"date" => "2015-01-01"
"label" => array:2 [
"fr" => "Bourse Labex et support financier de l'industrie pour l'organisation de la conférence ESSEC : Extreme Events in Finance (events-finance.net)"
"en" => "Labex grant and financial support from the industry for organizing ESSEC conference on Extreme Events in Finance extreme-events-finance.net"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
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]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\Distinction {#2245
#_index: null
#_id: null
#_source: array:6 [
"date" => "1996-01-01"
"label" => array:2 [
"fr" => "Prix du Chicago Board of Trade pour la recherche sur les produtits dérivés "Winning in the best and worst of times : boom and crash options""
"en" => "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""
]
"type" => array:2 [
"fr" => "Prix"
"en" => "Awards"
]
"tri" => " 1 "
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"teaching" => []
"otherActivities" => array:16 [
0 => Essec\Faculty\Model\ExtraActivity {#2217
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2009-01-01"
"endDate" => null
"year" => null
"uuid" => "201"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Organisation d'une conférence ou d'un séminaire"
"en" => "Organization of a conference or a seminar"
]
"label" => array:2 [
"fr" => "Conférences du Club ESSEC Gestion de patrimoine (co-organisation avec Gabriel Eschbach)"
"en" => "Conferences of the Club ESSEC Gestion de patrimoine (ESSEC Wealth Management Club) (co-organization with Gabriel Eschbach)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
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]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\ExtraActivity {#2221
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2003-05-01"
"endDate" => "2003-05-31"
"year" => null
"uuid" => "201"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Organisation d'une conférence ou d'un séminaire"
"en" => "Organization of a conference or a seminar"
]
"label" => array:2 [
"fr" => "Conférence Eurobanking à Bordeaux (co-organisation avec Antoine Frachot, Crédit Lyonnais)"
"en" => "Conference Eurobanking in Bordeaux (co-organization with Antoine Frachot, Crédit Lyonnais)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
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]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
2 => Essec\Faculty\Model\ExtraActivity {#2215
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2000-10-01"
"endDate" => "2000-10-31"
"year" => null
"uuid" => "201"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
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"subType" => array:2 [
"fr" => "Organisation d'une conférence ou d'un séminaire"
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"label" => array:2 [
"fr" => "Conférence sur le thème de la Value at risk (VaR) à Edinbourgh (co-organisation avec Pradeep Yadav, University of Strathclyde)."
"en" => "Conference on the theme Value at risk (VaR) in Edinburgh (co-organization with Pradeep Yadav, University of Strathclyde)."
]
"institution" => array:2 [
"fr" => null
"en" => null
]
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"fr" => null
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]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
3 => Essec\Faculty\Model\ExtraActivity {#2219
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "204"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'une association académique"
"en" => "Member of an academic association"
]
"label" => array:2 [
"fr" => "Membre de l'Association Française de Finance (AFFI)"
"en" => "Member of the French Finance Association (AFFI)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
4 => Essec\Faculty\Model\ExtraActivity {#2222
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "204"
"type" => array:2 [
"fr" => "Activités de recherche"
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"subType" => array:2 [
"fr" => "Membre d'une association académique"
"en" => "Member of an academic association"
]
"label" => array:2 [
"fr" => "Membre de l'Association Européenne de Finance (EFA)"
"en" => "Member of the European Finance Association (EFA)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
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]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
5 => Essec\Faculty\Model\ExtraActivity {#2223
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "204"
"type" => array:2 [
"fr" => "Activités de recherche"
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]
"subType" => array:2 [
"fr" => "Membre d'une association académique"
"en" => "Member of an academic association"
]
"label" => array:2 [
"fr" => "Membre de l'Association Américaine de Finance (AFA)"
"en" => "Member of the American Finance Association (AFA)"
]
"institution" => array:2 [
"fr" => null
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]
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"fr" => null
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+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
6 => Essec\Faculty\Model\ExtraActivity {#2224
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "501"
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"fr" => "Activités professionnelles"
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"subType" => array:2 [
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]
"label" => array:2 [
"fr" => "Membre de l'Association Française des Trésoriers d'Entreprise (AFTE)"
"en" => "Member of the French Association of Corporate Treasurers (AFTE)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
7 => Essec\Faculty\Model\ExtraActivity {#2225
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "501"
"type" => array:2 [
"fr" => "Activités professionnelles"
"en" => "Professional activities"
]
"subType" => array:2 [
"fr" => "Membre d'une association professionnelle, d'un groupe d'experts ou d'un conseil d'administration"
"en" => "Member of a professional association, of an expert group or of a board of directors"
]
"label" => array:2 [
"fr" => "Membre de l'Association Française pour le Développement des Fonds de Pension (AFPEN)"
"en" => "Member of the French Association for the Development of Pension Funds (AFPEN)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
8 => Essec\Faculty\Model\ExtraActivity {#2226
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "501"
"type" => array:2 [
"fr" => "Activités professionnelles"
"en" => "Professional activities"
]
"subType" => array:2 [
"fr" => "Membre d'une association professionnelle, d'un groupe d'experts ou d'un conseil d'administration"
"en" => "Member of a professional association, of an expert group or of a board of directors"
]
"label" => array:2 [
"fr" => "Membre de l'Association Française de Gestion Actif Passif (AFGAP)"
"en" => "Member of the French Association of Asset Liability Managers (AFGAP)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
9 => Essec\Faculty\Model\ExtraActivity {#2227
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => "501"
"type" => array:2 [
"fr" => "Activités professionnelles"
"en" => "Professional activities"
]
"subType" => array:2 [
"fr" => "Membre d'une association professionnelle, d'un groupe d'experts ou d'un conseil d'administration"
"en" => "Member of a professional association, of an expert group or of a board of directors"
]
"label" => array:2 [
"fr" => "Membre scientifique de La Française AM"
"en" => "Scientific Member of La Française AM"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
10 => Essec\Faculty\Model\ExtraActivity {#2228
#_index: null
#_id: null
#_source: array:9 [
"startDate" => null
"endDate" => null
"year" => null
"uuid" => "104"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Reviewer pour un journal"
"en" => "Reviewer for a journal"
]
"label" => array:2 [
"fr" => "Relecteur pour ASTIN Bulletin: Journal of the International Actuarial Association; Banque et Marchés; Econometrica; European Journal of Operational Research; Finance; International Review of Economics and Finance; Journal of Banking & Finance; Journal of Business; Journal of Empirical Finance; Journal of Finance; Journal of Financial and Quantitative Analysis; Journal of Financial Economics; Journal of Futures Markets; Journal of International Money and Finance; Mathematical Finance; Pacific-Basin Finance Journal; Review of Economic Studies; Review of Financial Studies"
"en" => "Reviewer for ASTIN Bulletin: Journal of the International Actuarial Association; Banque et Marchés; Econometrica; European Journal of Operational Research; Finance; International Review of Economics and Finance; Journal of Banking & Finance; Journal of Business; Journal of Empirical Finance; Journal of Finance; Journal of Financial and Quantitative Analysis; Journal of Financial Economics; Journal of Futures Markets; Journal of International Money and Finance; Mathematical Finance; Pacific-Basin Finance Journal; Review of Economic Studies; Review of Financial Studies"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
11 => Essec\Faculty\Model\ExtraActivity {#2229
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1994-01-01"
"endDate" => null
"year" => null
"uuid" => null
"type" => array:2 [
"fr" => "Services"
"en" => "Services"
]
"subType" => array:2 [
"fr" => null
"en" => null
]
"label" => array:2 [
"fr" => "Participation à de nombreux comités et groupes de travail à l'ESSEC : comité de recherche, comité d'enseignement, comité pédagogique, etc."
"en" => "Participation at various committees and working groups at ESSEC Business School: scientific committee, teaching committee, pedagogical committee..."
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
12 => Essec\Faculty\Model\ExtraActivity {#2230
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2014-03-01"
"endDate" => "2017-12-31"
"year" => "2014"
"uuid" => "102"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Co-direction d'une revue - Co-rédacteur en chef"
"en" => "Senior or Associate Editor"
]
"label" => array:2 [
"fr" => "Co-Rédacteur en chef - Journal of Banking and Finance"
"en" => "Associate editor - Journal of Banking and Finance"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
13 => Essec\Faculty\Model\ExtraActivity {#2231
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1999-01-01"
"endDate" => "2005-12-31"
"year" => "1999"
"uuid" => "103"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
"en" => "Editorial Board Membership"
]
"label" => array:2 [
"fr" => "Membre du comité de lecture - Finance"
"en" => "Editorial board membership - Finance"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
14 => Essec\Faculty\Model\ExtraActivity {#2232
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2014-01-01"
"endDate" => "2017-12-31"
"year" => "2014"
"uuid" => "103"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
"en" => "Editorial Board Membership"
]
"label" => array:2 [
"fr" => "Membre du comité de lecture - Journal of Banking and Finance"
"en" => "Editorial board membership - Journal of Banking and Finance"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
15 => Essec\Faculty\Model\ExtraActivity {#2233
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2006-01-01"
"endDate" => "2017-12-31"
"year" => "2006"
"uuid" => "103"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
"en" => "Editorial Board Membership"
]
"label" => array:2 [
"fr" => "Membre du comité de lecture - Journal of Risk"
"en" => "Editorial board membership - Journal of Risk"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"theses" => []
"indexedAt" => "2024-12-21T12:21:29.000Z"
"contributions" => array:83 [
0 => Essec\Faculty\Model\Contribution {#2247
#_index: "academ_contributions"
#_id: "3637"
#_source: array:18 [
"id" => "3637"
"slug" => "expliquer-la-crise-actuelle-le-changement-du-business-model-des-banques"
"yearMonth" => "2009-01"
"year" => "2009"
"title" => "Expliquer la crise actuelle : le changement du business model des banques"
"description" => "LONGIN, F. (2009). Expliquer la crise actuelle : le changement du business model des banques. Dans: <i>Le leadership responsable. Un allié sûr contre la crise</i>. 1st ed. Gualino. Lextenso éditions, pp. 225-232."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Le leadership responsable. Un allié sûr contre la crise"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "225-232"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2249
#_index: "academ_contributions"
#_id: "3972"
#_source: array:18 [
"id" => "3972"
"slug" => "linvestissement-immobilier"
"yearMonth" => "2012-04"
"year" => "2012"
"title" => "L'investissement immobilier"
"description" => "LONGIN, F. (2012). L'investissement immobilier. Dans: <i>Gestion de patrimoine : clés et outils</i>. 1st ed. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Gestion de patrimoine : clés et outils"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2251
#_index: "academ_contributions"
#_id: "1188"
#_source: array:18 [
"id" => "1188"
"slug" => "extreme-correlation-of-international-equity-markets"
"yearMonth" => "2001-04"
"year" => "2001"
"title" => "Extreme Correlation of International Equity Markets"
"description" => "LONGIN, F. et SOLNIK, B. (2001). Extreme Correlation of International Equity Markets. <i>Journal of Finance</i>, 56(2), pp. 649-676."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "SOLNIK B."
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "extreme value theory"
]
"updatedAt" => "2023-01-05 16:25:33"
"publicationUrl" => "https://onlinelibrary.wiley.com/doi/abs/10.1111/0022-1082.00340"
"publicationInfo" => array:3 [
"pages" => "649-676"
"volume" => "56"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Des études récentes ont montré que la corrélation des rentabilités des marchés internationaux tendait à croître en période de forte volatilité. Cependant, le concept de corrélation devrait être utilisé avec précaution. Par exemple, en supposant que les rentabilités suivent une distribution normale bivariée avec une corrélation constante, la corrélation conditionnelle pendant une période de forte volatilité est supérieure à la corrélation conditionnelle pendant une période de faible volatilité (même si la corrélation de toutes les rentabilités est restée constante au cours du temps). Pour tester si la corrélation s'accroît en période de forte volatilité, la distribution de la corrélation conditionnelle doit être clairement spécifiée. Dans ce papier, nous nous intéressons à la corrélation conditionnelle des grandes rentabilités et nous étudions la structure de dépendance des rentabilités des marchés boursiers internationaux pendant les périodes de forte volatilité (haussières et baissières). Nous utilisons des valeurs extrêmes pour modéliser la distribution multivariée des grandes rentabilités. Cette théorie montre que sous l'hypothèse nulle d'une distribution normale multivariée avec une corrélation constante, la distribution de la corrélation conditionnelle des grandes rentabilités est bien spécifiée. Empiriquement, en utilisant des rentabilités mensuelles de janvier 1959 à décembre 1996 pour les cinq plus grands marchés boursiers, nous trouvons que la corrélation des grandes rentabilités positives n'est pas incohérente avec celle induite par l'hypothèse nulle, alors que la corrélation des grandes rentabilités négatives est bien supérieure à celle attendue."
"en" => "Previous studies in international finance have shown that the correlation of international equity returns increases during volatile periods. However, correlation should be used with great care. For example, assuming a multivariate normal distribution with a constant correlation, the conditional correlation during volatile periods (large absolute returns) is higher than the conditional correlation during tranquil periods (small absolute returns) even though the correlation of all returns remains constant. In order to test if the correlation increases during volatile periods, the distribution of the conditional correlation under the null hypothesis must then be clearly specified. In this paper we focus on the correlation conditional to large returns and study the dependence structure of international equity markets during extremely volatile bear and bull periods. We use the "extreme value theory" to model the multivariate distribution of large returns. This theory allows one to specify the distribution of correlation conditional to large negative or positive returns under the null hypothesis of multivariate normality with a constant correlation. Empirically, using monthly data from January 1959 to December 1996 for the five largest stock markets, we find that the correlation of large positive return is not inconsistent with the assumption of multivariate normality while the correlation of large negative returns is much greater than expected under the assumption of multivariate normality."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2248
#_index: "academ_contributions"
#_id: "1189"
#_source: array:18 [
"id" => "1189"
"slug" => "extreme-value-theory-issues-for-the-new-millenium"
"yearMonth" => "2000-01"
"year" => "2000"
"title" => "Extreme Value Theory: Issues for the New Millenium"
"description" => "LONGIN, F. (2000). Extreme Value Theory: Issues for the New Millenium. <i>Journal of Derivatives and Hedge Funds</i>, pp. 230-237."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "230-237"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au marché des capitaux américains. Les mouvements extrêmes en finance, tels que les krachs boursiers, les effondrements des marchés obligataires, les crises de change ou autres crises financières intéressent particulièrement les investisseurs, les entreprises et les institutions financières. La théorie des valeurs extrêmes ajoute un point de vue quantitatif à ces événements rares mais importants."
"en" => "This paper presents the extreme value theory and an application to the US equity market. Extreme events in finance such as stock market crashes, bond market collapses, foreign exchange breakdowns and other financial crises are of great interest for investors, corporate and financial institutions, and regulators. The extreme value theory brings a quantitative point of view of these rare but important events."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2252
#_index: "academ_contributions"
#_id: "1190"
#_source: array:18 [
"id" => "1190"
"slug" => "extreme-value-theory-presentation-and-application-to-the-us-equity-market"
"yearMonth" => "2000-08"
"year" => "2000"
"title" => "Extreme Value Theory: Presentation and Application to the US Equity Market"
"description" => "LONGIN, F. (2000). Extreme Value Theory: Presentation and Application to the US Equity Market. <i>La Revue de l'AFPEN</i>, pp. 19-25."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:15"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "19-25"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La modélisation des variations d'une grandeur, comme la rentabilité des actifs financiers, est souvent réalisée à l'aide de simulation d'une loi normale. Or la loi normale ne rend qu'imparfaitement compte des variations extrêmes observées sur les marchés. Cet article présente la théorie des valeurs extrêmes et l'applique aux rentabilités du marché des actions américaines. Il montre qu'empiriquement le comportement statistique des rentabilités extrêmes est bien modélisé par une loi de Fréchet et, qu'en conséquence, les rentabilités ne peuvent être modélisées par une loi normale."
"en" => "This paper presents the extreme value theory and an application to the US equity market. Extreme events in finance such as stock market crashes, bond market collapses, foreign exchange breakdowns and other financial crises are of great interest for investors, corporate and financial institutions, and regulators. The extreme value theory brings a quantitative point of view of these rare but important events."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#2246
#_index: "academ_contributions"
#_id: "1221"
#_source: array:18 [
"id" => "1221"
"slug" => "financial-market-activity-under-capital-controls-lessons-from-extreme-events"
"yearMonth" => "2018-09"
"year" => "2018"
"title" => "Financial Market Activity under Capital Controls: Lessons from Extreme Events"
"description" => "KONSTANTINOS, G. et LONGIN, F. (2018). Financial Market Activity under Capital Controls: Lessons from Extreme Events. <i>Economics Letters</i>, 171, pp. 10-13."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "KONSTANTINOS G."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Contrôle des capitaux"
1 => "Dépendance rentabilité volume"
2 => "Théorie des valeurs extrêmes"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0165176518302581"
"publicationInfo" => array:3 [
"pages" => "10-13"
"volume" => "171"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous étudions la relation entre la rentabilité et le volume des transactions dans les queues de distribution suite aux restrictions sur les transactions dues aux contrôles de capitaux mis en place à la Bourse d'Athènes en juillet 2015. Nous utilisons la théorie des valeurs extrêmes bivariées pour modéliser la structure de dépendance. Nous montrons que les restrictions sur les transactions ont un impact sur l'activité des acteurs du marché."
"en" => "We investigate the contemporaneous relation between return and transaction volume in distribution tails under the restrictions on transactions due to the capital controls implemented on the Athens Stock Exchange in July 2015. We use bivariate extreme value theory to model the tail dependence structure. We show that restrictions on transactions have an impact on the activity of market participants."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2250
#_index: "academ_contributions"
#_id: "1255"
#_source: array:18 [
"id" => "1255"
"slug" => "from-value-at-risk-to-stress-testing-the-extreme-value-approach"
"yearMonth" => "2000-07"
"year" => "2000"
"title" => "From Value at Risk to Stress Testing: The Extreme Value Approach"
"description" => "LONGIN, F. (2000). From Value at Risk to Stress Testing: The Extreme Value Approach. <i>Journal of Banking & Finance</i>, pp. 1097-1130."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1097-1130"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au calcul de la value at risk d'une position de marché. Cette théorie statistique permet de quantifier le comportement des mouvements extrêmes de prix. Les mouvements extrêmes correspondent, en temps normal, à de simples secousses comme les ajustements ou les corrections de marché, mais aussi, en période extraordinaire, à de véritables tremblements de terre comme les krachs boursiers ou les crises de change. L'approche fondée sur les mouvements extrêmes réconcilie les méthodes existantes de calcul de value at risk dans des conditions normales de marché et les méthodes de stress testing qui s'intéressent aux conditions de crise."
"en" => "This paper presents extreme value theory and its application to the calculation of the value at risk of a position. This statistical theory allows a quantification of the behavior of extreme price movements. Extreme movements are associated with both tremors like market adjustments or corrections observed during ordinary periods. The approach based on extreme price movements then reconciles the existing methods of calculation of value at risk in usual market conditions and the methods of stress testing focusing on financial crises."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2253
#_index: "academ_contributions"
#_id: "1299"
#_source: array:18 [
"id" => "1299"
"slug" => "guaranteed-fund-presentation-and-management-techniques"
"yearMonth" => "2003-07"
"year" => "2003"
"title" => "Guaranteed Fund. Presentation and Management Techniques"
"description" => "LONGIN, F. (2003). Guaranteed Fund. Presentation and Management Techniques. <i>La Revue de l'AFPEN</i>, pp. 55-68."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:19"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "55-68"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article traite des fonds garantis. En particulier, il s'intéresse aux fonds dont le capital est garanti à maturité. Deux techniques de gestion sont présentées : la méthode exceptionnelle et la méthode du coussin."
"en" => "This article deals with guaranteed funds, and especially funds which provide at maturity a guarantee of the capital invested. It presents two management methods: the option method and the cushion method."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2254
#_index: "academ_contributions"
#_id: "5544"
#_source: array:18 [
"id" => "5544"
"slug" => "ceo-nomination-and-gender-leadership-stereotypes-evidence-from-lab-experiments"
"yearMonth" => "2019-08"
"year" => "2019"
"title" => "CEO Nomination and Gender Leadership Stereotypes: Evidence from Lab Experiments"
"description" => "LONGIN, F. et SANTACREU VASUT, E. (2019). CEO Nomination and Gender Leadership Stereotypes: Evidence from Lab Experiments. Dans: 2019 European Economics Association Meeting (EEA-ESEM 2019)."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:3 [
"name" => "SANTACREU VASUT Estefania"
"bid" => "B00318975"
"slug" => "santacreu-vasut-estefania"
]
]
"ouvrage" => "2019 European Economics Association Meeting (EEA-ESEM 2019)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Economie"
"en" => "Economics"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2255
#_index: "academ_contributions"
#_id: "5545"
#_source: array:18 [
"id" => "5545"
"slug" => "ceo-nomination-and-gender-leadership-stereotypes-evidence-from-lab-experiments"
"yearMonth" => "2019-05"
"year" => "2019"
"title" => "CEO Nomination and Gender Leadership Stereotypes: Evidence from Lab Experiments"
"description" => "LONGIN, F. et SANTACREU VASUT, E. (2019). CEO Nomination and Gender Leadership Stereotypes: Evidence from Lab Experiments. Dans: 3rd Meetings of Society of Economics of the Household (SEHO). Lisbon."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:3 [
"name" => "SANTACREU VASUT Estefania"
"bid" => "B00318975"
"slug" => "santacreu-vasut-estefania"
]
]
"ouvrage" => "3rd Meetings of Society of Economics of the Household (SEHO)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Economie"
"en" => "Economics"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2256
#_index: "academ_contributions"
#_id: "1409"
#_source: array:18 [
"id" => "1409"
"slug" => "introduction-to-extreme-events-in-finance"
"yearMonth" => "2002-12"
"year" => "2002"
"title" => "Introduction to Extreme Events in Finance"
"description" => "LONGIN, F. (2002). Introduction to Extreme Events in Finance. <i>Finance</i>, pp. 9-13."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "9-13"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Les événements extrêmes en finance, comme les krachs boursiers, ont toujours été un sujet fascinant. Si beaucoup de livres écrits par des historiens ont donné un récit qualitatif de ces événements, peu d'explications quantitatives ont à ce jour été avancées. Récemment, des méthodes statistiques -en particulier la théorie des valeurs extrêmes- ont été proposées pour traiter ces événements d'une manière quantitative. Ce numéro spécial de la revue Finance vise à rassembler des contributions originales dans ce domaine de recherche."
"en" => "Extreme events in finance, such as stock market crashes, have always been a fascinating subject. If many books by historians have been devoted to qualitative descriptions of these events, little attention has been paid to quantitative explanations. Recently, statistical methods -especially extreme value theory- have been proposed to deal with these events in a quantitative way. This special issue of Finance is aimed at collecting original contributions in this new area of research."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2257
#_index: "academ_contributions"
#_id: "1424"
#_source: array:18 [
"id" => "1424"
"slug" => "is-the-correlation-in-international-equity-returns-constant-1960-1990"
"yearMonth" => "1995-02"
"year" => "1995"
"title" => "Is the Correlation in International Equity Returns Constant : 1960-1990 ?"
"description" => "LONGIN, F. et SOLNIK, B. (1995). Is the Correlation in International Equity Returns Constant : 1960-1990 ? <i>Journal of International Money and Finance</i>, pp. 3-26."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "SOLNIK B."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "3-26"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous étudions la corrélation des marchés boursiers internationaux. La corrélation est instable au cours du temps. Cette instabilité peut être expliquée par une croissance au cours du temps, l'influence de variables économiques et un effet de seuil (signifiant que la corrélation est plus élevée quand on anticipe une forte volatilité des marchés)."
"en" => "We study the correlation of monthly excess returns for seven major countries over the period 1960-1990. The correlation is unstable over time and this instability can be explained by a time-trend, the influence of economic variables and a threshold effect (which proves that the correlation is higher when we expect a high level of volatility)."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2258
#_index: "academ_contributions"
#_id: "1529"
#_source: array:18 [
"id" => "1529"
"slug" => "la-mesure-du-risque-operationnel-des-societes-de-valorisation-dopcvm"
"yearMonth" => "2002-10"
"year" => "2002"
"title" => "La mesure du risque opérationnel des sociétés de valorisation d'OPCVM"
"description" => "LONGIN, F. et MARTIN, G. (2002). La mesure du risque opérationnel des sociétés de valorisation d'OPCVM. <i>Banque Magazine</i>, pp. 60-64."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "MARTIN G."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:26"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "60-64"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Comment modéliser les pertes liées au risque opérationnel dans le cas de la gestion d'actifs ? Cet article présente une nouvelle méthode, dénommée Loss Process Approach (LPA) qui permet de répondre à cette question dans le cadre spécifique du métier de valorisateur. Elle s'inscrit aussi dans la lignée des travaux du Comité de Bâle sur le nouveau ration de solvabilité."
"en" => "How can we model the losses due to operational risk in asset management? This article presents the Loss Process Approach (LPA), which provides a specifically suited answer to this question for the fund valuation business and is an outgrowth of the actual work of the Basel Committee on the new capital ratio."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2259
#_index: "academ_contributions"
#_id: "1581"
#_source: array:18 [
"id" => "1581"
"slug" => "la-theorie-des-valeurs-extremes-presentation-et-premieres-applications-en-finance"
"yearMonth" => "1995-01"
"year" => "1995"
"title" => "La théorie des valeurs extrêmes : présentation et premières applications en finance"
"description" => "LONGIN, F. (1995). La théorie des valeurs extrêmes : présentation et premières applications en finance. <i>Journal de la Société Française de Statistique & Revue de statistique appliquée</i>, pp. 77-97."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "77-97"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'article présente la théorie des valeurs extrêmes et ses premières applications en finance : choix de la loi statistique des rentabilités d'actifs financiers, niveau optimal des marges sur les marchés dérivés, crash options..."
"en" => "The article presents the extreme value theory and its first applications in finance : the choice of the statistical distribution of asset returns, the optimal margin level in futures markets, crash options..."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2260
#_index: "academ_contributions"
#_id: "1632"
#_source: array:18 [
"id" => "1632"
"slug" => "le-choix-de-la-loi-des-rentabilites-dactifs-financiers-les-valeurs-extremes-peuvent-aider"
"yearMonth" => "1995-12"
"year" => "1995"
"title" => "Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider"
"description" => "LONGIN, F. (1995). Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider. <i>Finance</i>, pp. 25-48."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "25-48"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La loi normale, les mélanges de lois normales, les lois de Student, les lois stables de Pareto-Levy, les processus de diffusion avec sauts et les processus ARCH sont des modèles utilisés en finance pour décrire le comportement statistique des rentabilités boursières. Cet article montre comment les observations de variations extrêmes de prix peuvent être utilisées pour différencier ces modèles."
"en" => "The unconditional normal distribution, mixtures of normal variables, Student-t variables, stable Paretian variables, jump-diffusion and ARCH processes,... are all models used in financial studies to describe the statistical behaviour of market rentabilities. This article shows how the observation of extreme values can be used to differentiate the models."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2261
#_index: "academ_contributions"
#_id: "1829"
#_source: array:18 [
"id" => "1829"
"slug" => "les-innovations-financieres"
"yearMonth" => "2003-01"
"year" => "2003"
"title" => "Les innovations financières"
"description" => "LONGIN, F. (2003). Les innovations financières. <i>PCM - Le Pont</i>, pp. 14-17."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:35"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "14-17"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article traite des innovations financières. Il aborde les questions suivantes : quelle est l'origine des innovations financières ? Qu'est-ce qui stimule les innovations financières ? Qu'est-ce qui fait qu'une innovation financière réussit et est adoptée par le plus grand nombre ? Quels sont les moyens à la disposition d'acteurs comme les banques pour être à la pointe sur les innovations financières ? Quels sont les champs de recherche les plus prometteurs ?"
"en" => "This article deals with financial innovations. It addresses the following questions: what is the origin of financial innovations? What stimulates financial innovations? What are the reasons of success of some financial innovations? Whare are the means available for banks to cope with financial innovations? What are the most promising research areas?"
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2262
#_index: "academ_contributions"
#_id: "1830"
#_source: array:18 [
"id" => "1830"
"slug" => "les-innovations-financieres"
"yearMonth" => "2003-12"
"year" => "2003"
"title" => "Les innovations financières"
"description" => "LONGIN, F. (2003). Les innovations financières. <i>Banque Magazine</i>, pp. 34-37."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:35"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "34-37"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le secteur bancaire et financier, comme tout secteur de l'économie, innove constamment en matière de produit. Cet article s'intéresse à l'origine des innovations financières ainsi qu'aux facteurs favorisant le processus d'innovation. Il y est montré que la réglementation bancaire et financière est particulièrement importante pour expliquer le développement des derniers produits financiers."
"en" => "The banking and financial sector, as every sector of the economy, produces innovative products. This article deals with the origin of financial innovations and the factors that stimulates the innovation process. Ity is shown that the banking and financial regulation is especially important to explain the latest development of financial products."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
17 => Essec\Faculty\Model\Contribution {#2263
#_index: "academ_contributions"
#_id: "6244"
#_source: array:18 [
"id" => "6244"
"slug" => "is-bitcoin-the-new-digital-gold"
"yearMonth" => "2019-06"
"year" => "2019"
"title" => "Is Bitcoin the New Digital Gold?"
"description" => "KONSTANTINOS, G. et LONGIN, F. (2019). Is Bitcoin the New Digital Gold? Dans: 2019 International Risk Management Conference (IRMC). Milan."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "KONSTANTINOS Gkillas"
]
]
"ouvrage" => "2019 International Risk Management Conference (IRMC)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
18 => Essec\Faculty\Model\Contribution {#2264
#_index: "academ_contributions"
#_id: "6245"
#_source: array:18 [
"id" => "6245"
"slug" => "is-bitcoin-the-new-digital-gold"
"yearMonth" => "2019-12"
"year" => "2019"
"title" => "Is Bitcoin the New Digital gold?"
"description" => "KONSTANTINOS, G. et LONGIN, F. (2019). Is Bitcoin the New Digital gold? Dans: 2019 Paris Financial Management Conference (PFMC2019)."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "KONSTANTINOS Gkillas"
]
]
"ouvrage" => "2019 Paris Financial Management Conference (PFMC2019)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
19 => Essec\Faculty\Model\Contribution {#2265
#_index: "academ_contributions"
#_id: "2060"
#_source: array:18 [
"id" => "2060"
"slug" => "minimal-returns-and-the-breakdown-of-the-price-volume-relation"
"yearMonth" => "1996-01"
"year" => "1996"
"title" => "Minimal Returns and the Breakdown of the Price-volume Relation"
"description" => "BALDUZZI, P., KALLAL, H. et LONGIN, F. (1996). Minimal Returns and the Breakdown of the Price-volume Relation. <i>Economics Letters</i>, pp. 265-269."
"authors" => array:3 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "BALDUZZI P."
]
2 => array:1 [
"name" => "KALLAL H."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "265-269"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous étudions la relation entre l'indice de marché et le volume de transaction le jour où se produit la rentabilité minimale sur une année, de 1885 à 1990 à la bourse de New York. Nous ne trouvons pas de corrélation entre la taille de la rentabilité et le volume de transaction."
"en" => "This paper examines stock-market prices and transaction volumes on the day where daily returns are minimal (in the year), from 1885 to 1990 in the New York Stock Exchange. We found that large minimal returns (in absolute terms) show little correlation with transaction volumes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
20 => Essec\Faculty\Model\Contribution {#2266
#_index: "academ_contributions"
#_id: "2161"
#_source: array:18 [
"id" => "2161"
"slug" => "optimal-margin-level-in-future-markets-extreme-price-movements"
"yearMonth" => "1999-04"
"year" => "1999"
"title" => "Optimal Margin Level in Future Markets: Extreme Price Movements"
"description" => "LONGIN, F. (1999). Optimal Margin Level in Future Markets: Extreme Price Movements. <i>Journal of Futures Markets</i>, pp. 127-152."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "127-152"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Je développe une nouvelle méthode pour fixer le montant de dépôt de garantie demandé aux investisseurs pour leurs transactions sur les marchés dérivés. La théorie des valeurs extrêmes est utilisée pour calculer ce montant en fonction de la probabilité de violation de marge désirée par les intermédiaires financiers. Les mouvements extrêmes sont au coeur de ce problème puisque seule une grande fluctuation des prix peut engendrer des pertes pour les intermédiaires financiers. La partie empirique utilise des prix sur les contrats futurs du métal argent échangés au COMEX."
"en" => "In this paper I develop a new method of setting the margin level in future markets. Extreme value theory is used to derive the margin level for a given probability of margin violation desired by margin committees or brokers. Extreme movements are central to the problem of margin setting since only a large price variation may cause brokers to incur losses. The method takes into account the appropriate amount of extremes in the distribution of price changes and provides a simple analytical formula to compute the margin level. I also present an empirical study using prices of the silver futures contract traded on COMEX."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
21 => Essec\Faculty\Model\Contribution {#2267
#_index: "academ_contributions"
#_id: "2209"
#_source: array:18 [
"id" => "2209"
"slug" => "pension-funds-and-stock-market-crashes"
"yearMonth" => "2001-06"
"year" => "2001"
"title" => "Pension Funds and Stock Market Crashes"
"description" => "LONGIN, F. (2001). Pension Funds and Stock Market Crashes. <i>La Revue de l'AFPEN</i>, pp. 5-12."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "5-12"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""Krach boursier" : une expression magique qui attire l'attention de tout investisseur financier. Cet article, écrit par François Longin, fait suite à un article récemment publié dans la revue de l'AFPEN qui avait pour but de présenter la théorie des valeurs extrêmes. Nous montrons maintenant comment cette théorie statistique peut être utilisée pour obtenir des résultats quantitatifs sur les mouvements extrêmes de prix. Plus précisément, nous estimons la probabilité et la période de retour de tels événements. Cette information peut être utile pour connaître les risques d'un fond de pension et les gérer."
"en" => ""Stock Market Crashes": a magic expression, which will definitely attract the attention of every financial investor. This article, by François Longin, is the follow-up of an article published in the APFEN Review which objective was to present the extreme value theory. It now shows how this statistical theory can be used to obtain some quantitative results about such extreme price movements. More precisely, the probability of a stock market crash and its waiting time period are estimated. Such information may be useful to assess the market risk of a pension fund and to manage this risk."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
22 => Essec\Faculty\Model\Contribution {#2268
#_index: "academ_contributions"
#_id: "2250"
#_source: array:18 [
"id" => "2250"
"slug" => "portfolio-insurance-and-market-crashes"
"yearMonth" => "2001-09"
"year" => "2001"
"title" => "Portfolio Insurance and Market Crashes"
"description" => "LONGIN, F. (2001). Portfolio Insurance and Market Crashes. <i>Journal of Asset Management</i>, pp. 136-161."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "136-161"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'assurance de portefeuille a traditionnellement pris deux formes : l'achat d'options de vente (put) et la duplication dynamique d'un profil de risque donné. Alors que la première méthode présente souvent un coût prohibitif et manque de flexibilité, la seconde ne conduit pas toujours au profil de risque attendu à cause des imperfections de marché comme l'illiquidité. Cet article montre comment des nouveaux produits financiers appelés "options sur krach" pourraient être utilisés par les investisseurs pour protéger leurs portefeuilles durant les périodes d'extrême volatilité."
"en" => "Portfolio insurance has traditionally taken two forms: the buying of put options and the dynamic replication of a given risk profile. While the first method often presents a prohibitive cost and lacks of flexibility, the second method does not always lead to the expected risk/return profile due to market imperfections such as market illiquidity. This article shows how new financial derivatives called "crash options" could be used to protect investors' portfolios during periods of extreme volatility."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
23 => Essec\Faculty\Model\Contribution {#2269
#_index: "academ_contributions"
#_id: "2328"
#_source: array:18 [
"id" => "2328"
"slug" => "quantifying-the-op-risk-in-investment-fund-valuation"
"yearMonth" => "2003-03"
"year" => "2003"
"title" => "Quantifying the Op Risk in Investment Fund Valuation"
"description" => "LONGIN, F. et MARTIN, G. (2003). Quantifying the Op Risk in Investment Fund Valuation. <i>Risk</i>, pp. 15-17."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "MARTIN G."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "15-17"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article traite du risque opérationnel des sociétés de valorisation de fonds. Après une présentation du business de ces entreprises liés à la gestion d'actifs, le processus d'évaluation ainsi que les risques associés sont passés en revue. L'article présente ensuite un modèle quantitatif pour apprécier les pertes liées à l'évaluation des fonds et la charge en fonds propres associés. Ce travail est en ligne avec la réforme du Comité de Bâle sur la réglementation bancaire."
"en" => "This article deals with operation risk in fund valuation companies. First, this business linked to asset management is described. Then the process of fund valuation with its associated risks is reviewed. This article presents a new model to quantify operational risk due to the errors in valuing funds. This approach is in line with the reform on bank regulation organized by the Bale Committee."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
24 => Essec\Faculty\Model\Contribution {#2270
#_index: "academ_contributions"
#_id: "6821"
#_source: array:18 [
"id" => "6821"
"slug" => "optimal-margins-in-futures-markets"
"yearMonth" => "1994-08"
"year" => "1994"
"title" => "Optimal Margins in Futures Markets"
"description" => "LONGIN, F. (1994). Optimal Margins in Futures Markets."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Une nouvelle approche fondée sur les extrêmes de prix est proposée pour fixer le niveau des marges sur les marchés dérivés."
"en" => "A new approach based on extreme prices is proposed to set margins in futures markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
25 => Essec\Faculty\Model\Contribution {#2271
#_index: "academ_contributions"
#_id: "6934"
#_source: array:18 [
"id" => "6934"
"slug" => "price-volume-relationsship-an-extreme-point-of-view"
"yearMonth" => "2014-12"
"year" => "2014"
"title" => "Price-Volume Relationsship: An Extreme Point of View"
"description" => "LONGIN, F. et PAGLIARDI, G. (2014). Price-Volume Relationsship: An Extreme Point of View. Dans: Conference on Extreme Events in Finance."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "PAGLIARDI G."
]
]
"ouvrage" => "Conference on Extreme Events in Finance"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
26 => Essec\Faculty\Model\Contribution {#2272
#_index: "academ_contributions"
#_id: "2452"
#_source: array:18 [
"id" => "2452"
"slug" => "risques-extremes-sur-les-marches-financiers"
"yearMonth" => "1999-10"
"year" => "1999"
"title" => "Risques extrêmes sur les marchés financiers"
"description" => "BOULIER, J.F. et LONGIN, F. (1999). Risques extrêmes sur les marchés financiers. <i>Risques</i>, pp. 80-84."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "BOULIER J.F."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "80-84"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Les risques extrêmes sur les marchés financiers se manifestent sous la forme de krachs boursiers, crises de change, effondrements des marchés obligataires... Cet article montre que, même si ces évènements ont pendant longtemps été considérés comme anormaux, leur comportement statistique peut être appréhendé grâce à la théorie des valeurs extrêmes."
"en" => "Extreme risks in financial markets often take the form of stock market crashes, currency crises, and collapses of the bond markets... The following article demonstrates how the statistical behaviour of such developments, which have long been considered as abnormal, can be understood in the light of the extreme value theory."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
27 => Essec\Faculty\Model\Contribution {#2273
#_index: "academ_contributions"
#_id: "2518"
#_source: array:18 [
"id" => "2518"
"slug" => "stock-market-crashes-some-quantitative-results-based-on-extreme-value-theory"
"yearMonth" => "2001-01"
"year" => "2001"
"title" => "Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory"
"description" => "LONGIN, F. (2001). Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory. <i>Journal of Derivatives and Hedge Funds</i>, pp. 197-205."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "197-205"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "."Krack boursier " : une expression magique qui attirera toujours l'attention des investisseurs. Cet article fait suite à un article déjà publié dans la revue Derivatives Use Trading & Regulation dont l'objectif était de présenter la théorie des valeurs extrêmes. Il est maintenant montré comment cette théorie statistique peut être utilisée pour obtenir des résultats quantitatifs sur les mouvements extrêmes de prix sur les marchés financiers. Plus précisément, la probabilité d'un mouvement extrême de prix et la période de retour d'un tel mouvement sont estimées. Cet article s'intéresse ensuite aux mouvements extrêmes de prix associés avec les krack boursiers."
"en" => ""Stock market crashes" : a magic expression, which will definitely attract the attention of every financial investor. This article is the follow-up of an article published in Derivatives Use Trading & Regulation whose objective was to present extreme value theory. It is now shown how this statistical theory can be used to obtain some quantitative results about such extreme price movements. More precisely, the probability of an extreme price movement and its waiting time period are estimated. The article then focuses on extreme price movement associated with stock market crashes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
28 => Essec\Faculty\Model\Contribution {#2274
#_index: "academ_contributions"
#_id: "2565"
#_source: array:18 [
"id" => "2565"
"slug" => "tail-relation-between-return-and-volume-in-the-us-stock-market-an-analysis-based-on-extreme-value-theory"
"yearMonth" => "2016-08"
"year" => "2016"
"title" => "Tail Relation Between Return and Volume in the US Stock Market: An Analysis Based on Extreme Value Theory"
"description" => "LONGIN, F. et PAGLIARDI, G. (2016). Tail Relation Between Return and Volume in the US Stock Market: An Analysis Based on Extreme Value Theory. <i>Economics Letters</i>, 145, pp. 252-254."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "PAGLIARDI G."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Extreme value theory"
1 => "Peaks-over-threshold method"
2 => "Return–volume dependence"
3 => "Stock market volatility"
4 => "Extreme correlation"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://doi.org/10.1016/j.econlet.2016.06.026"
"publicationInfo" => array:3 [
"pages" => "252-254"
"volume" => "145"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the extreme dependence between the two variables. We show that the extreme correlation between return and volume decreases as we consider larger events in both the left and right distribution tails. From an economic viewpoint, this paper contributes to a better understanding of the activity of market participants during extreme events. Our empirical result is consistent with the economic explanation by Gennotte and Leland (1990) of extreme price movements based on misinterpretation of trades by market participants."
"en" => "Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the extreme dependence between the two variables. We show that the extreme correlation between return and volume decreases as we consider larger events in both the left and right distribution tails. From an economic viewpoint, this paper contributes to a better understanding of the activity of market participants during extreme events. Our empirical result is consistent with the economic explanation by Gennotte and Leland (1990) of extreme price movements based on misinterpretation of trades by market participants."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
29 => Essec\Faculty\Model\Contribution {#2275
#_index: "academ_contributions"
#_id: "2594"
#_source: array:18 [
"id" => "2594"
"slug" => "the-asymptotic-distribution-of-extreme-stock-market-returns"
"yearMonth" => "1996-07"
"year" => "1996"
"title" => "The Asymptotic Distribution of Extreme Stock Market Returns"
"description" => "LONGIN, F. (1996). The Asymptotic Distribution of Extreme Stock Market Returns. <i>Journal of Business</i>, pp. 383-408."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "383-408"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente une étude des mouvements extrêmes de prix de marché boursiers. D'après la théorie des valeurs extrêmes, la forme de la loi des rentabilités extrêmes est précisément connue et indépendante du processus générant les rentabilités. Empiriquement, je montre que la loi des rentabilités extrêmes du marché boursier américain représenté par un indice regroupant les valeurs les plus échangées est une loi de Fréchet."
"en" => "This article presents a study of extreme stock market price movements. According to the theory of extreme values, the nature of the distribution of extreme returns is known precisely, and it is independent of the process which generates the returns. Using an index of the most traded stocks on the New York Stock Exchange between 1885 and 1990, I empirically show that the extreme returns can be accounted for by a Fréchet distribution."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
30 => Essec\Faculty\Model\Contribution {#2276
#_index: "academ_contributions"
#_id: "2604"
#_source: array:18 [
"id" => "2604"
"slug" => "the-choice-of-the-distribution-of-asset-returns-how-extreme-value-theory-can-help"
"yearMonth" => "2005-04"
"year" => "2005"
"title" => "The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help?"
"description" => "LONGIN, F. (2005). The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help? <i>Journal of Banking & Finance</i>, pp. 1017."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1017"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La modélisation de la distribution des rentabilités des actifs financiers est une problématique importante en matière de gestion des risques. Les praticiens et les académiques ont depuis longtemps utilisé la distribution normale. Une telle hypothèse a été utilisée dans de nombreux domaines de la finance : construction de portefeuilles optimaux en termes de rentabilité et de risques, évaluation et couverture de produits dérivés et gestion des risques. Cependant, les études empiriques mettent en évidence une fréquence de valeurs extrêmes plus importante que celle impliquée par le cadre Gaussien. Cet article montre comment la théorie des valeurs extrêmes permet de choisir un modèle statistique qui tient compte de cette caractéristique."
"en" => "One of the issues of risk management is the choice of the distribution of asset returns. Academics and practitioners have assumed for a long time that the distribution of asset returns is a Gaussian distribution. Such an assumption has been used in many field of finance: building optimal portfolio, pricing and hedging derivatives and managing risks. However, real financial data tend to exhibit extreme price changes such as stock market crashes that seem incompatible with the assumption of normality. This article shows how extreme value theory can be useful to know more precisely the characteristics of the distribution of asset returns and finally help to chose a better model by focusing on the tails of the distribution."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
31 => Essec\Faculty\Model\Contribution {#2277
#_index: "academ_contributions"
#_id: "7387"
#_source: array:18 [
"id" => "7387"
"slug" => "the-margin-volatility-relation-an-extreme-based-approach"
"yearMonth" => "1994-09"
"year" => "1994"
"title" => "The Margin-volatility Relation : An Extreme-based Approach"
"description" => "LONGIN, F. (1994). The Margin-volatility Relation : An Extreme-based Approach."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le niveau de la volatilité du marché des actions est-il influencé par le niveau des marges de dépôts ? Un test sur les extrêmes de prix est proposé pour tester empiriquement cette situation."
"en" => "Is the level of market volatility related to the level of equity margins ? A test based on extreme price movements is proposed to test empirically this proposition."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
32 => Essec\Faculty\Model\Contribution {#2278
#_index: "academ_contributions"
#_id: "795"
#_source: array:18 [
"id" => "795"
"slug" => "cif-une-activite-tres-encadree"
"yearMonth" => "2010-06"
"year" => "2010"
"title" => "CIF une activité très encadrée"
"description" => "LONGIN, F. et ROUGEOT, L. (2010). CIF une activité très encadrée. <i>L'As Patrimonial</i>, pp. 54-55."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "ROUGEOT L."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "54-55"
"volume" => null
"number" => "30"
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
33 => Essec\Faculty\Model\Contribution {#2279
#_index: "academ_contributions"
#_id: "1156"
#_source: array:18 [
"id" => "1156"
"slug" => "evenements-extremes-en-finance-mieux-comprendre-pour-mieux-prevoir"
"yearMonth" => "2010-02"
"year" => "2010"
"title" => "Evènements extrêmes en finance. Mieux comprendre pour mieux prévoir"
"description" => "LONGIN, F. (2010). Evènements extrêmes en finance. Mieux comprendre pour mieux prévoir. <i>L'As Patrimonial</i>, pp. 46-47."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "46-47"
"volume" => null
"number" => "29"
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
34 => Essec\Faculty\Model\Contribution {#2280
#_index: "academ_contributions"
#_id: "1412"
#_source: array:18 [
"id" => "1412"
"slug" => "investissements-dans-les-pme-contraintes-et-avantages-de-la-loi-dutreil"
"yearMonth" => "2008-10"
"year" => "2008"
"title" => "Investissements dans les PME. Contraintes et avantages de la loi Dutreil"
"description" => "LONGIN, F. (2008). Investissements dans les PME. Contraintes et avantages de la loi Dutreil. <i>L'As Patrimonial</i>, pp. 88-90."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "88-90"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
35 => Essec\Faculty\Model\Contribution {#2281
#_index: "academ_contributions"
#_id: "1413"
#_source: array:18 [
"id" => "1413"
"slug" => "investissez-en-fonction-de-vos-besoins"
"yearMonth" => "2009-12"
"year" => "2009"
"title" => "Investissez en fonction de vos besoins"
"description" => "LONGIN, F. (2009). Investissez en fonction de vos besoins. <i>Finance management</i>, (33), pp. 24-26."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "24-26"
"volume" => null
"number" => "33"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
36 => Essec\Faculty\Model\Contribution {#2282
#_index: "academ_contributions"
#_id: "1703"
#_source: array:18 [
"id" => "1703"
"slug" => "le-prix-des-actifs-financiers-quelques-cles-pour-en-comprendre-la-formation"
"yearMonth" => "2009-12"
"year" => "2009"
"title" => "Le prix des actifs financiers. Quelques clés pour en comprendre la formation"
"description" => "LONGIN, F. (2009). Le prix des actifs financiers. Quelques clés pour en comprendre la formation. <i>L'As Patrimonial</i>, pp. 48-49."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "48-49"
"volume" => null
"number" => "28"
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
37 => Essec\Faculty\Model\Contribution {#2283
#_index: "academ_contributions"
#_id: "658"
#_source: array:18 [
"id" => "658"
"slug" => "application-de-la-theorie-des-valeurs-extremes-aux-marches-financiers"
"yearMonth" => "1998-01"
"year" => "1998"
"title" => "Application de la Théorie des Valeurs Extrêmes aux Marchés Financiers"
"description" => "BOULIER, J.F., DALAUD, R. et LONGIN, F. (1998). Application de la Théorie des Valeurs Extrêmes aux Marchés Financiers. <i>Bankers, Markets and Investors</i>."
"authors" => array:3 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "BOULIER J.F."
]
2 => array:1 [
"name" => "DALAUD R."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:07"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La théorie des valeurs extrêmes permet de décrire le comportement statistique des grands chocs observés sur les marchés financiers. Empiriquement, le comportement des extrêmes des variables financières étudiées, rentabilité d'actions et taux d'intérêt, semble bien représenté par la loi de Fréchet. Nous utilisons les résultats sur les extrêmes dans le cadre de la règlementation sur les risques de marché pour les institutions financières. Ainsi, nous calculons la charge en fonds propres exigée pour une probabilité fixée, et inversement, nous quantifions la probabilité attachée à une charge en fonds propres donnée."
"en" => "Extreme value theory allows to quantify the statistical behavior of the largest shocks in financial markets. First, it is applied to different financial markets (equity and interest rates). The behavior of the extremes of these financial variables seems to be well modelled by the Fréchet distribution. We apply the results about the extremes to the regulation on market risks for financial institutions. We compute the capital requirement for a given probability, and inversely, the probability associated with a given level of capital requirement."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
38 => Essec\Faculty\Model\Contribution {#2284
#_index: "academ_contributions"
#_id: "681"
#_source: array:18 [
"id" => "681"
"slug" => "asset-management-measuring-the-operational-risk-of-fund-valuation-companies"
"yearMonth" => "2003-01"
"year" => "2003"
"title" => "Asset Management. Measuring the Operational Risk of Fund Valuation Companies"
"description" => "LONGIN, F. et MARTIN, G. (2003). Asset Management. Measuring the Operational Risk of Fund Valuation Companies. <i>Risk</i>, pp. 12-15."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "MARTIN G."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "12-15"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le principal risque des sociétés de valorisation de fonds est le risque opérationnel. Après une présentation du business de ces entreprises liés à la gestion d'actifs, le processus de valorisation des fonds ainsi que les risques associés sont passés en revue. L'article présente ensuite un modèle quanititatif pour apprécier les pertes liées à la valorisation des fonds et la charge en fonds propres associés. Ce travail est en ligne avec la réforme du Comité de Bâle sur la réglementation bancaire."
"en" => "The main risk face by fund valuation companies is operational risk. This article describes this business, which is linked to asset management. Then the process of fund valuation with its associated risks is reviewed. A new model to quantify operational risk due to the errors in valuing funds is presented. This approach is in line with the reform on bank regulation organized by the Bale Committee."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
39 => Essec\Faculty\Model\Contribution {#2285
#_index: "academ_contributions"
#_id: "725"
#_source: array:18 [
"id" => "725"
"slug" => "beyond-the-var"
"yearMonth" => "2001-01"
"year" => "2001"
"title" => "Beyond the VaR"
"description" => "LONGIN, F. (2001). Beyond the VaR. <i>Journal of Derivatives</i>, pp. 36-48."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "36-48"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Value at risk (VaR) est devenue une mesure de référence pour les risques de marché et a été largement mise en oeuvre par les institutions financières. La VaR d'une position de marché est un nombre qui essaie de résumer le risque de la position. Elle est définie comme la pire perte possible sur une période donnée et pour un niveau de confiance donné. Une question naturelle se pose en gestion de risques : Quelle est la perte au delà de la VaR. Cette question est en particulier pertinente lorsque la distribution des actifs présentent des queues épaisses ou lorsque la position contient des options. Cet article utilise le concept de BVaR pour tenir compte du profil des pertes au delà de la VaR. Techniquement, la BVaR correspond à la moyenne des pertes excédant la VaR. Alors que la VaR s'intéresse à la fréquence des événements extrêmes, la BVaR intègre à la fois la fréquence et la taille de ces événements."
"en" => "Value at risk (VaR) as a standard measure of market risks has been widely implemented by financial institutions. The VaR of a market position is a single number attempting to summarize the risk of that position. It is defined as the worst expected loss of the position over a given period of time, at a given confidence level. A natural question with respect to risk management relates to the profile of losses beyond the VaR. This question is especially relevant when the distribution of asset returns is fat-tailed, or when the position includes options. This article uses the concept of BVaR in order to take into account the profile of losses beyond the VaR. Technically speaking, this corresponds to the statistical mean of the losses exceeding the VaR. While the VaR focuses on the frequency of extreme events, BVaR integrates both the frequency and the size of extreme events."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
40 => Essec\Faculty\Model\Contribution {#2286
#_index: "academ_contributions"
#_id: "756"
#_source: array:18 [
"id" => "756"
"slug" => "capital-requirement-a-new-method-based-on-extreme-price-variations"
"yearMonth" => "2000-01"
"year" => "2000"
"title" => "Capital Requirement: A New Method Based on Extreme Price Variations"
"description" => "LONGIN, F. (2000). Capital Requirement: A New Method Based on Extreme Price Variations. <i>Journal of Risk Finance</i>, pp. 42-50."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:03"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "42-50"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Bien que la plupart des mesures de risques soient basées sur la distribution complète des titres, de nombreux événements financiers sont liés aux risques extrêmes que l'on trouve en fin de distribution. Cet article applique la théorie des valeurs extrêmes de calcul de la charge en fonds propres pour une institution financière. Grâce à la théorie statistique, on peut quantifier le comportement des variations extrêmes de prix observées sur les marchés financiers."
"en" => "Although the most commonly employed risk measures are based upon the entire distribution of asset prices, many financial events are related to extreme risks located at the tails of the distribution. This article appliesthe extreme value theory to the computation of the capital requirement for a financial institution. Statistical theory allows us to quantify the behavior of extreme price variations observed in financial markets. Extremes selected over a long period of time obey the so-called extreme value distribution, which can either be a Weibull, a Gumbel or a Fréchet distribution according to the shape of the distribution tail. The specified extreme value distribution is then used to compute the position-risk requirement of a portfolio. An example is presented for a US equity portfolio."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
41 => Essec\Faculty\Model\Contribution {#2287
#_index: "academ_contributions"
#_id: "796"
#_source: array:18 [
"id" => "796"
"slug" => "cif-une-activite-tres-encadree-2e-partie"
"yearMonth" => "2011-09"
"year" => "2011"
"title" => "CIF une activité très encadrée (2e partie)"
"description" => "LONGIN, F. et ROUGEOT, L. (2011). CIF une activité très encadrée (2e partie). <i>L'As Patrimonial</i>, pp. 58-59."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "ROUGEOT L."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "AMF"
1 => "Autorité des marchés financiers"
2 => "CIF"
3 => "Conseiller en investissements financiers"
4 => "Relation clients"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "58-59"
"volume" => null
"number" => "31"
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article définit le statut de conseiller en investissements financiers (CIF) qui est devenue une activité très encadrée par l'Autorité des marchés financiers (AMF). Il traite du formalisme de la relation client imposée par la nouvelle réglementation et de la rémunération des différentes activités des CIF et CGP (conseil et vente de produits financiers, montages immobiliers et crédits bancaires)."
"en" => "This article deals with the French status for financial advisors (named "conseiller en investissements financiers" ou CIF). This status has been redefined by the French authority ("'Autorité des marchés financiers" or AMF). It deals with the formalism of the customer relationship and the remuneration of independent financial advisors and wealth managers."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
42 => Essec\Faculty\Model\Contribution {#2288
#_index: "academ_contributions"
#_id: "2776"
#_source: array:18 [
"id" => "2776"
"slug" => "turbulence-when-the-bubble-bursts"
"yearMonth" => "2016-04"
"year" => "2016"
"title" => "Turbulence: When the Bubble Bursts"
"description" => "LONGIN, F. (2016). Turbulence: When the Bubble Bursts. <i>Reflets Hors-Série ESSEC Knowledge</i>, (2), pp. 94-96."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:02"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "94-96"
"volume" => null
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
43 => Essec\Faculty\Model\Contribution {#2289
#_index: "academ_contributions"
#_id: "7906"
#_source: array:18 [
"id" => "7906"
"slug" => "application-de-la-theorie-des-valeurs-extremes-aux-marches-financiers"
"yearMonth" => "1997-08"
"year" => "1997"
"title" => "Application de la théorie des valeurs extrêmes aux marchés financiers"
"description" => "BOULIER, J.F., DALAUD, R. et LONGIN, F. (1997). <i>Application de la théorie des valeurs extrêmes aux marchés financiers</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "BOULIER J.F."
]
2 => array:1 [
"name" => "DALAUD R."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La théorie des valeurs extrêmes permet de décrire le comportement statistique des grands chocs observés sur les marchés financiers. Empiriquement, le comportement des extrêmes des variables financières étudiées, rentabilité d'actions et taux d'intérêt, semble bien représenté par la loi de Fréchet. Nous utilisons les résultats sur les extrêmes dans le cadre de la règlementation sur les risques de marché pour les institutions financières. Ainsi, nous calculons la charge en fonds propres exigée pour une probabilité fixée, et inversement, nous quantifions la probabilité attachée à une charge en fonds propres donnée."
"en" => "Extreme value theory allows us to quantify the statistical behavior of the largest shocks in financial markets. First, it is applied to different financial markets (equity and interest rates). The behavior of the extremes of these financial variables seems to be modelled well by the Fréchet distribution. We apply the results about the extremes to the regulation on market risks for financial institutions. We compute the capital requirement for a given probability, and inversely, the probability associated with a given level of capital requirement."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
44 => Essec\Faculty\Model\Contribution {#2290
#_index: "academ_contributions"
#_id: "7927"
#_source: array:18 [
"id" => "7927"
"slug" => "beyond-the-var"
"yearMonth" => "1997-01"
"year" => "1997"
"title" => "Beyond the VaR"
"description" => "LONGIN, F. (1997). <i>Beyond the VaR</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le concept de Value at Risk (VaR) est maintenant considéré comme la référence en matière de mesure de risques. La VaR d'une position est un nombre qui tente de mesurer et de résumer le risque de cette position. Comme la VaR n'est pas en général une statistique exhaustive du risque, il est intéressant de connaître quel est le risque au-delà de la VaR. Ce papier s'intéresse au problème suivant : quelle est la perte moyenne d'une position sachant que la perte est supérieure à la VaR ? Un cadre statistique simple est développé pour répondre à cette question et une étude empirique est présentée avec plusieurs méthodes de VaR : la distribution des valeurs extrêmes, la distribution historique, la distribution normale non conditionnelle et des processus normaux conditionnels."
"en" => "The concept of Value ar Risk (VaR) is now considered as the standard measure of risk. The VaR of a position is a single number attempting to measure and summarize the risk of this position. As the VaR is not in general a sufficient statistics for risk, it is interesting to know what the risk is beyond the VaR. This paper addresses the following issue: what is the expected loss of a position knowing that the loss is greater than the VaR ? A simple statistical framework is developed to answer this question and an empirical study is presented with several VaR methods: the extreme value distribution, the historical distribution, the unconditional normal distribution and conditional normal processes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
45 => Essec\Faculty\Model\Contribution {#2291
#_index: "academ_contributions"
#_id: "7964"
#_source: array:18 [
"id" => "7964"
"slug" => "cout-dinvestissement-a-la-bourse-de-paris"
"yearMonth" => "1999-09"
"year" => "1999"
"title" => "Coût d'investissement à la Bourse de Paris"
"description" => "CHEVALLIER, A. et LONGIN, F. (1999). <i>Coût d'investissement à la Bourse de Paris</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "CHEVALLIER A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le coût d'investissement à la Bourse de Paris se décompose en un coût de transaction (comprenant des frais explicites payés aux intermédiaires financiers, des coûts implicites résultant des imperfections du marché et des taxes financières) et des frais de gestion (frais sur opérations particulières de gestion et frais de tenue de compte). L'objectif de cette recherche est de décrire, de modéliser et d'estimer ces composantes. Nous considérons des investissements de caractéristiques différentes (montant investi, nombre d'ordres passés en bourse, prix de marché et nombre de lignes). Nous trouvons que le coût d'investissement dépend du prix de marché de l'action. En particulier, il existe une zone optimale de prix dans laquelle le coût d'investissement est minimum. Un tel résultat a des implications pour les entreprises émettrices, les investisseurs et les intermédiaires financiers."
"en" => "The cost of investing on the Paris Stock Exchange is divided into a transaction cost (including: explicit fees paid to financial intermediaries, implicit liquidity cost and financial taxes) and investing fees (mainly management fees). The objective of the paper is to describe, assess and estimate these different components. Portfolios with different characteristics (amount invested, number of assets, market price and trading strategies) are considered. We find that the global cost of an investment particularly depends on the quoted price of a unit invested share. This result suggests the existence of an optimal range for the market price. It may have some economic implications for firms, investors and financial intermediaries."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
46 => Essec\Faculty\Model\Contribution {#2292
#_index: "academ_contributions"
#_id: "7982"
#_source: array:18 [
"id" => "7982"
"slug" => "dependences-structure-of-international-equity-markets-during-extremely-volatile-periods"
"yearMonth" => "1997-11"
"year" => "1997"
"title" => "Dependences Structure of International Equity Markets during Extremely Volatile Periods"
"description" => "LONGIN, F. et SOLNIK, B. (1997). <i>Dependences Structure of International Equity Markets during Extremely Volatile Periods</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "SOLNIK B."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La corrélation des marchés boursiers internationaux est instable au cours du temps. Une des sources de cette instabilité peut être le changement de la structure de corrélation pendnat les périodes de volatilité différent : la corrélation pourrait croître en période de forte volatilité et décroître en période de faible volatilité. Le niveau de la corrélation pourrait aussi dépendre de la tendance des marchés : la corrélation pourrait être plus élevée dans un marché baissier et moins élevée dans un marché haussier. Cet article étudie la structure de dépendance de trois marchés boursiers internationaux (les Etats-Unis, le Royaume-Uni et le Japon) pendnat les périodes de volatilité extrême. Il considère à la fois la taille et le temps d'apparition des larges mouvements de prix dans le cadre formalisé de la théorie des valeurs extrêmes."
"en" => "Correlation in international equity returns is unstable over time. One of the sources of this instability may be a change in the correlation structure during volative periods: correlation rises in periods of high volatility and declines in periods of low volatility. The level of correlation may also depend on the market trend: correlation is higher during bear market than during bull markets. This paper studies the dependence structure of three international markets (the United States, the United Kingdom and Japan) during extremely volatile periods. It considers both the size and the timing of large price movements in a formalized framework using extreme value theory."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
47 => Essec\Faculty\Model\Contribution {#2293
#_index: "academ_contributions"
#_id: "8057"
#_source: array:18 [
"id" => "8057"
"slug" => "from-value-at-risk-to-stress-testing-the-extreme-value-approach"
"yearMonth" => "1997-02"
"year" => "1997"
"title" => "From Value at Risk to Stress Testing: The Extreme Value Approach"
"description" => "LONGIN, F. (1997). <i>From Value at Risk to Stress Testing: The Extreme Value Approach</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au calcul de la value at risk d'une position de marché. Cette théorie statistique permet de quantifier le comportement des mouvements extrêmes de prix. Les mouvements extrêmes correspondent, en temps normal, à de simples secousses comme les ajustements ou les corrections de marché, mais aussi, en période extraordinaire, à de véritables tremblements de terre comme les krachs boursiers ou les crises de change. L'approche fondée sur les mouvements extrêmes réconcilie les méthodes existantes de calcul de value at risk dans des conditions normales de marché et les méthodes de stress testing qui s'intéressent aux conditions de crise."
"en" => "This paper presents extreme value theory and its application to the computation of the value at risk of a position. The statistical theory allows us to quantify the behavior of extreme movements in prices and rates. Empirically, it is shown that the Fréchet distribution models this type of movement well. Extreme movements are associated with both little tremors like market adjustments or corrections during ordinary periods, and also earthquake-like stock market crashes or foreign exchange crises observed during extraordinary periods. An approach based on extreme values to compute value at risk then reconciles the existing VaR methods which consider usual market conditions, and stress testing methods which focus on crises."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
48 => Essec\Faculty\Model\Contribution {#2294
#_index: "academ_contributions"
#_id: "8157"
#_source: array:18 [
"id" => "8157"
"slug" => "le-choix-de-la-loi-des-rentabilites-dactifs-financiers-les-valeurs-extremes-peuvent-aider"
"yearMonth" => "1996-03"
"year" => "1996"
"title" => "Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider"
"description" => "LONGIN, F. (1996). <i>Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La loi normale, les mélanges de lois normales, les lois de Student, les lois stables de Pareto-Levy, les processus de diffusion avec sauts et les processus ARCH sont des modèles utilisés en finance pour décrire le comportement statistique des rentabilités boursières. Cet article montre comment les observations de variations extrêmes de prix peuvent être utilisées pour différencier ces modèles."
"en" => "The unconditional normal distribution, mixtures of normal variables, Student-t variables, stable Paretian variables, jump-diffusion and ARCH processes,... are all models used in financial studies to describe the statistical behaviour of market profitability. This article shows how the observation of extreme values can be used to differentiate the models."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
49 => Essec\Faculty\Model\Contribution {#2295
#_index: "academ_contributions"
#_id: "8308"
#_source: array:18 [
"id" => "8308"
"slug" => "optimal-margin-level-in-futures-markets-a-method-based-on-extreme-price-movements"
"yearMonth" => "1997-04"
"year" => "1997"
"title" => "Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements"
"description" => "LONGIN, F. (1997). <i>Optimal Margin Level in Futures Markets - A Method Based on Extreme Price Movements</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article développe une nouvelle méthode pour fixer le montant du dépôt de garantie demandé aux investisseurs pour leurs transactions sur les marchés dérivés. La théorie des valeurs extrêmes est utilisée pour calculer ce montant en fonction de la probabilité de violation de marge désirée par les intermédiaires financiers. Les mouvements extrêmes sont au coeur de ce problème puisque seule une grande fluctuation des prix peut engendrer des pertes pour les intermédiaires financiers. La partie empirique utilise des prix sur les contrats futures du métal argent échangés au COMEX."
"en" => "In this paper a new method for setting the margin level in futures markets is developed. Extreme value theory is used to derive the margin level for a given probability of margin violation desired by margin committees or brokers. Extreme movements are central to the problem of margin setting since only a large price variation may cause brokers to suffer losses. The method takes into account the appropriate amount of extremes in the distribution of price changes and provides a simple analytical formula to compute the margin level. I also present an empirical study using prices of the silver futures contracts traded on COMEX."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
50 => Essec\Faculty\Model\Contribution {#2296
#_index: "academ_contributions"
#_id: "8416"
#_source: array:18 [
"id" => "8416"
"slug" => "stress-testing-application-de-la-theorie-des-valeurs-extremes-aux-marches-des-changes"
"yearMonth" => "1997-01"
"year" => "1997"
"title" => "Stress Testing : Application de la théorie des valeurs extrêmes aux marchés des changes"
"description" => "LONGIN, F. (1997). <i>Stress Testing : Application de la théorie des valeurs extrêmes aux marchés des changes</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La gestion des risques financiers est particulièrement concernée par les évènements catastrophiques tels qu'un krach boursier, un effondrement du marché obligatoire ou une crise des changes. Des instruments de gestion des risques tels que les modèles de value at risk ont été développés à la fois par des professionnnels et des académiques pour évaluer le risque de positions de marché. Comme la plupart des modèles considèrent des conditions " normales " de marché, ils sont toujours complétés par des analyses de stress testing s'intéressant aux scénarios catastrophes. Ce papier propose une méthode rigoureuse fondée sur la théorie des valeurs extrêmes pour définir les scénarios catastrophes utilisés dans les méthodes de stress testing. La valeur de stress d'un facteur de risque est calculée pour une probabilité donnée, et inversement, une probabilité est calculée pour une valeur de stress donnée."
"en" => "Risk management is especially concerned with catastrophic events such as stock market crashes collapses of the bond market or foreign exchange crises. Risk management tools such as value at risk models have been developed both by professionnals and academics to evalue the risk of market positions. As most of the models consider " normal " market conditions, they are completed by stress testing studies focusing on catastrophic events. This paper proposes a rigorous method based on extreme value theory to definie catastrophe scenarios used in stress testing methods. The stress value for a risk factor is computed for a given probability, and inversely, a probability is computed for a given stress value. An applications is provided for foreign exchange markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
51 => Essec\Faculty\Model\Contribution {#2297
#_index: "academ_contributions"
#_id: "8509"
#_source: array:18 [
"id" => "8509"
"slug" => "value-at-risk-une-nouvelle-methode-fondee-sur-la-theorie-des-valeurs-extremes"
"yearMonth" => "1997-02"
"year" => "1997"
"title" => "Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes"
"description" => "LONGIN, F. (1997). <i>Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au calcul de la value at risk d'une position de marché. Cette théorie statistique permet de quantifier le comportement des mouvements extrêmes de prix et de taux. Empiriquement, nous montrons que la loi de Fréchet issue de la théorie décrit bien ce type de mouvement. Les mouvements extrêmes correspondent, en temps normal, à de simples secousses comme les ajustements ou les corrections de marché, mais aussi, en période extraordinaire, à de véritables tremblements de terre comme les krachs boursiers ou les crises de change."
"en" => "This article presents extreme value theory and its application to the computation of the value at risk of a position. This statistical theory allows to quantify the behavior of extreme movements in prices and rates. Empirically, it is shown that the Fréchet distribution is an accurate model for this type of movement. Extreme movements are associated with shocks like market adjustments or corrections during normal periods and also with "earthquakes" such as stock market crashes or foreign exchange crises observed during extraordinary periods."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
52 => Essec\Faculty\Model\Contribution {#2298
#_index: "academ_contributions"
#_id: "8525"
#_source: array:18 [
"id" => "8525"
"slug" => "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"
"yearMonth" => "1996-01"
"year" => "1996"
"title" => "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)"
"description" => "LONGIN, F. (1996). <i>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)</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans cet article sont introduits : les boom options et les crash options. Ces options ont pour but de protéger les portefeuilles boursiers des investisseurs pendant les périodes de forte volatilité contre une forte et rapide diminution ou augmentation de la valeur d'une position longue ou courte. Les boom et crash options constituent une assurance contre les booms et les krachs boursiers."
"en" => "This paper introduces two new financial derivatives : boom options and crash options. These options are designed to protect investors' portfolios, during periods of extreme volatility, against a sharp, major decline in the value of a short or long position. Boom and crash options provide an insurance against rare events like stock market booms and crashes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
53 => Essec\Faculty\Model\Contribution {#2299
#_index: "academ_contributions"
#_id: "5248"
#_source: array:18 [
"id" => "5248"
"slug" => "winning-in-the-best-and-worst-of-times-boom-and-crash-options"
"yearMonth" => "1996-06"
"year" => "1996"
"title" => "Winning in the Best and Worst of Times : Boom and Crash Options"
"description" => "LONGIN, F. (1996). Winning in the Best and Worst of Times : Boom and Crash Options. Dans: <i>Proceedings of 13th International Conference of the French Finance Association</i>. Association Française de Finance (AFFI), pp. 1-40."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Proceedings of 13th International Conference of the French Finance Association"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-40"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans cet article sont introduits : les boom options et les crash options. Ces options ont pour but de protéger les portefeuilles boursiers des investisseurs pendant les périodes de forte volatilité contre une forte et rapide diminution ou augmentation de la valeur d'une position longue ou courte. Les boom et crash options constituent une assurance contre les booms et les krachs boursiers."
"en" => "This paper introduces two new financial derivatives : boom options and crash options. These options are designed to protect investors' portfolios, during periods of extreme volatility, against a sharp, major decline in the value of a short or long position. Boom and crash options provide an insurance against rare events like stock market booms and crashes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
54 => Essec\Faculty\Model\Contribution {#2300
#_index: "academ_contributions"
#_id: "12695"
#_source: array:18 [
"id" => "12695"
"slug" => "gender-equality-in-finance"
"yearMonth" => "2021-06"
"year" => "2021"
"title" => "Gender Equality In Finance"
"description" => "SANTACREU VASUT, E. et LONGIN, F. (2021). Gender Equality In Finance. <i>ESSEC Knowledge</i>."
"authors" => array:2 [
0 => array:3 [
"name" => "SANTACREU VASUT Estefania"
"bid" => "B00318975"
"slug" => "santacreu-vasut-estefania"
]
1 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-03-06 16:45:21"
"publicationUrl" => "https://knowledge.essec.edu/en/economy-finance/gender-equality-finance.html"
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
55 => Essec\Faculty\Model\Contribution {#2301
#_index: "academ_contributions"
#_id: "5899"
#_source: array:18 [
"id" => "5899"
"slug" => "etude-de-la-loi-statistique-de-la-volatilite"
"yearMonth" => "1996-12"
"year" => "1996"
"title" => "Etude de la loi statistique de la volatilité"
"description" => "LONGIN, F. (1996). Etude de la loi statistique de la volatilité."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La volatilité est le principal facteur déterminant le prix des options. Ce paramètre n'est pas constant mais varie au cours du temps, ce qui complique l'évaluation et la couverture de produits dérivés. De nouvelles options - options sur volatilité - ont été récemment étudiées par des académiques, et la création d'un marché d'options sur volatilité est actuellement discutée par les Bourses. Nous étudions ici le comportement statistique de la volatilité en tant que telle."
"en" => "Volatility is the main factor to determine option prices. This parameter is not constant but varies through time, a property which complicates the pricing and hedging of derivative products. New options - options on volatility - have been studied by academics and considered for trading by Exchanges. In this paper I study the statistical behavior of volatility per se."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
56 => Essec\Faculty\Model\Contribution {#2302
#_index: "academ_contributions"
#_id: "5958"
#_source: array:18 [
"id" => "5958"
"slug" => "extreme-correlation-of-international-equity-market"
"yearMonth" => "2000-06"
"year" => "2000"
"title" => "Extreme Correlation of International Equity Market"
"description" => "LONGIN, F. et SOLNIK, B. (2000). Extreme Correlation of International Equity Market."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "SOLNIK B."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Des études récentes ont montré que la corrélation des rentabilités des marchés internationaux tendait à croître en période de forte volatilité. Cependant, le concept de corrélation devrait être utilisé avec précaution. Par exemple, en supposant que les rentabilités suivent une distribution normale bivariée avec une corrélation constante, la corrélation conditionnelle pendant une période de forte volatilité est supérieure à la corrélation conditionnelle pendant une période de faible volatilité (même si la corrélation de toutes les rentabilités est restée constante au cours du temps). Pour tester si la corrélation s'accroît en période de forte volatilité, la distribution de la corrélation conditionnelle doit être clairement spécifiée. Dans ce papier, nous nous intéressons à la corrélation conditionnelle des grandes rentabilités et nous étudions la structure de dépendance des rentabilités des marchés boursiers internationaux pendant les périodes de forte volatilité (haussières et baissières). Nous utilisons des valeurs extrêmes pour modéliser la distribution multivariée des grandes rentabilités. Cette théorie montre que sous l'hypothèse nulle d'une distribution normale multivariée avec une corrélation constante, la distribution de la corrélation conditionnelle des grandes rentabilités est bien spécifiée. Empiriquement, en utilisant des rentabilités mensuelles de janvier 1959 à décembre 1996 pour les cinq plus grands marchés boursiers, nous trouvons que la corrélation des grandes rentabilités positives n'est pas incohérente avec celle induite par l'hypothèse nulle, alors que la corrélation des grandes rentabilités négatives est bien supérieure à celle attendue."
"en" => "Previous studies in international finance have shown that the correlation of international equity returns increases during volatile periods. However, correlation should be used with great care. For example, assuming that we consider a multivariate normal distribution with a constant correlation, the conditional correlation during volatile periods (large absolute returns) is higher than the conditional correlation during tranquil periods (small absolute returns) even though the correlation of all returns remains constant. In order to test whether the correlation increases during volatile periods, the distribution of the conditional correlation under the null hypothesis must then be clearly specified. In this paper we focus on the conditional correlation to large returns and study the dependence structure of international equity markets during extremely volatile bear and bull periods. We use the "extreme value theory" to model the multivariate distribution of large returns. This theory allows one to specify the distribution of the conditional correlation to large negative or positive returns under the null hypothesis of multivariate normality with a constant correlation. Empirically, using monthly data from January 1959 to December 1996 for the five largest stock markets, we find that the correlation of large positive returns is not inconsistent with the assumption of multivariate normality while the correlation of large negative returns is much greater than expected under the assumption of multivariate normality."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
57 => Essec\Faculty\Model\Contribution {#2303
#_index: "academ_contributions"
#_id: "14017"
#_source: array:18 [
"id" => "14017"
"slug" => "is-there-a-greta-effect-in-investors-perception-of-corporate-social-responsibility"
"yearMonth" => "2022-12"
"year" => "2022"
"title" => "Is there a Greta effect in investors’ perception of corporate social responsibility?"
"description" => "LONGIN, F. et ZICARI, A. (2022). Is there a Greta effect in investors’ perception of corporate social responsibility? Dans: 2022 Paris Financial Management Conference (PFMC-2022). Paris."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:3 [
"name" => "ZICARI Adrian"
"bid" => "B00265409"
"slug" => "zicari-adrian"
]
]
"ouvrage" => "2022 Paris Financial Management Conference (PFMC-2022)"
"keywords" => []
"updatedAt" => "2023-11-30 09:10:22"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Comptabilité et Contrôle de Gestion"
"en" => "Accounting and Management Control "
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
58 => Essec\Faculty\Model\Contribution {#2304
#_index: "academ_contributions"
#_id: "14154"
#_source: array:18 [
"id" => "14154"
"slug" => "gender-is-gender-in-the-pocket-of-investors"
"yearMonth" => "2022-06"
"year" => "2022"
"title" => "Gender Is Gender in the Pocket of Investors?"
"description" => "LONGIN, F. et SANTACREU VASUT, E. (2022). Gender Is Gender in the Pocket of Investors? Dans: 2022 European Financial Management Association (EFMA) Annual meeting. Rome."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:3 [
"name" => "SANTACREU VASUT Estefania"
"bid" => "B00318975"
"slug" => "santacreu-vasut-estefania"
]
]
"ouvrage" => "2022 European Financial Management Association (EFMA) Annual meeting"
"keywords" => []
"updatedAt" => "2023-07-20 01:00:39"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
59 => Essec\Faculty\Model\Contribution {#2305
#_index: "academ_contributions"
#_id: "7695"
#_source: array:18 [
"id" => "7695"
"slug" => "extreme-events-in-finance-handbook-of-extreme-value-theory-and-its-applications"
"yearMonth" => "2016-10"
"year" => "2016"
"title" => "Extreme Events in Finance: Handbook of Extreme Value Theory and Its Applications"
"description" => "LONGIN, F. [Ed] (2016). <i>Extreme Events in Finance: Handbook of Extreme Value Theory and Its Applications</i>. Wiley, 602 pages."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Direction d'ouvrage"
"en" => "Book editor"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage collectif traite des événements extrêmes en finance comme les krachs boursiers. Il présente la théorie des valeurs extrêmes qui permet d’estimer la distribution statistique des plus fortes variations de prix des actifs financiers. Il présente aussi les applications de cette théorie en finance dans les domaines de la gestion des risques et de la gestion d’actifs. L’ouvrage contient des contributions scientifiques en statistiques et en finance ainsi que des témoignages de professionnels."
"en" => "This handbook deals with extreme events in finance such as stock market crashes. It presents extreme value theory which allows one to estimate the statistical distribution of the largest variation of asset prices. It also presents application of the theory to finance in the fields of risk management and asset management. This handbook contains academic contributions in statistics and finance and also testimonies from practitioners."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
60 => Essec\Faculty\Model\Contribution {#2306
#_index: "academ_contributions"
#_id: "7699"
#_source: array:18 [
"id" => "7699"
"slug" => "gestion-de-patrimoine-cles-et-outils"
"yearMonth" => "2012-04"
"year" => "2012"
"title" => "Gestion de patrimoine : clés et outils"
"description" => "LONGIN, F. [Ed] (2012). <i>Gestion de patrimoine : clés et outils</i>. ESSEC Business School, 474 pages."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Direction d'ouvrage"
"en" => "Book editor"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage est destiné à la fois aux particuliers qui s’intéressent à la gestion de leur patrimoine et aux professionnels qui travaillent dans le domaine du conseil en gestion de patrimoine ou des domaines connexes. Pour les particuliers, il donne des clés pour mieux comprendre les enjeux de la gestion de leur patrimoine et pour mieux discuter avec des professionnels (conseillers, banquiers ou gestionnaires) ainsi que des outils pour mieux gérer leur patrimoine. Qu’ils soient propriétaires de biens immobiliers ou détenteurs d’actifs financiers (assurance-vie, compte-titres ou produits bancaires), ce livre leur propose des éclairages techniques, des perspectives historiques et de nouvelles pistes à explorer. Pour les professionnels, le présent ouvrage apporte un cadre d’analyse pour leur activité de tous les jours pour aborder les problématiques d’allocation d’actifs ou de mise en place d’effets de levier par exemple."
"en" => "This book is for both individuals intersted in managing their own wealth and practionneers working in wealth management. It provides both ideas and tools for wealth management."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
61 => Essec\Faculty\Model\Contribution {#2307
#_index: "academ_contributions"
#_id: "14397"
#_source: array:18 [
"id" => "14397"
"slug" => "investors-perception-of-corporate-social-responsibility-evidence-from-a-lab-experiment"
"yearMonth" => "2023-07"
"year" => "2023"
"title" => "Investors’ Perception of Corporate Social Responsibility: Evidence from a Lab Experiment"
"description" => "LONGIN, F. (2023). Investors’ Perception of Corporate Social Responsibility: Evidence from a Lab Experiment. Dans: 16th Edition of the Annual Meeting of The Risk, Banking and Finance Society. Florence."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "16th Edition of the Annual Meeting of The Risk, Banking and Finance Society"
"keywords" => []
"updatedAt" => "2024-03-20 16:28:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
62 => Essec\Faculty\Model\Contribution {#2308
#_index: "academ_contributions"
#_id: "9341"
#_source: array:18 [
"id" => "9341"
"slug" => "vendre-plus-et-vendre-mieux-interview"
"yearMonth" => "2008-10"
"year" => "2008"
"title" => "Vendre plus et vendre mieux (Interview)"
"description" => "LONGIN, F. (2008). Vendre plus et vendre mieux (Interview). <i>L'As Patrimonial</i>, pp. 95."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "95"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
63 => Essec\Faculty\Model\Contribution {#2309
#_index: "academ_contributions"
#_id: "3675"
#_source: array:18 [
"id" => "3675"
"slug" => "from-value-at-risk-to-stress-testing-the-extreme-value-approach"
"yearMonth" => "2000-07"
"year" => "2000"
"title" => "From Value-at-risk to Stress-testing: the Extreme Value Approach"
"description" => "LONGIN, F. (2000). From Value-at-risk to Stress-testing: the Extreme Value Approach. Dans: <i>Extremes and Integrated Risk Management</i>. 1st ed. Risk Books, pp. 125-148."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Extremes and Integrated Risk Management"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "125-148"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au calcul de la value at risk d'une position de marché. Cette théorie statistique permet de quantifier le comportement des mouvements extrêmes de prix. Les mouvements extrêmes correspondent, en temps normal, à de simples secousses comme les ajustements ou les corrections de marché, mais aussi, en période extraordinaire, à de véritables tremblements de terre comme les krachs boursiers ou les crises de change. L'approche fondée sur les mouvements extrêmes réconcilie les méthodes existantes de calcul de value at risk dans des conditions normales de marché et les méthodes de stress testing qui s'intéressent aux conditions de crise."
"en" => "This paper presents extreme value theory and its application to the calculation of the value at risk of a position. This statistical theory allows a quantification of the behaviour of extreme price movements. Extreme movements are associated with both tremors-like market adjustments or corrections observed during ordinary periods, and also with earthquake-like stock market crashes or foreign exchange crises observed during extraordinary periods. The approach based on extreme price movements then reconcile the existing methods of calculation of value at risk in usual market conditions and the methods of stress testing focusing on financial crises."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
64 => Essec\Faculty\Model\Contribution {#2310
#_index: "academ_contributions"
#_id: "9697"
#_source: array:18 [
"id" => "9697"
"slug" => "booms-and-crashes-applications-of-extreme-value-theory-to-the-us-stock-market"
"yearMonth" => "1993-01"
"year" => "1993"
"title" => "Booms and Crashes: Applications of Extreme Value Theory to the US Stock Market"
"description" => "LONGIN, F. (1993). <i>Booms and Crashes: Applications of Extreme Value Theory to the US Stock Market</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:18"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
65 => Essec\Faculty\Model\Contribution {#2311
#_index: "academ_contributions"
#_id: "3772"
#_source: array:18 [
"id" => "3772"
"slug" => "la-complexite-sur-les-marches-financiers"
"yearMonth" => "2018-01"
"year" => "2018"
"title" => "La complexité sur les marchés financiers"
"description" => "LONGIN, F. (2018). La complexité sur les marchés financiers. Dans: <i>Complexité et organisations : faire face aux défis de demain</i>. 1st ed. Eyrolles, pp. 259-272."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Complexité et organisations : faire face aux défis de demain"
"keywords" => array:3 [
0 => "Complexité"
1 => "Marchés financiers"
2 => "Simulation"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "259-272"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Comment appréhender la complexité des marchés financiers ? Est-elle plutôt un théâtre d’incertitude ou de risque ? Le cas échéant, ce dernier peut-il être mesuré ? Trois méthodes permettent d’approcher cette complexité, au travers des crises en particulier, explique François Longin : l’une relève de la statistique et de la mathématique, la deuxième de l’histoire et la troisième de la simulation, permettant de vivre de l’intérieur les mécanismes des marchés financiers. Cette revue méthodologique est aussi l’occasion de découvrir qu’en finance, l’incertitude et le risque ne sont pas toujours là où l’on s’attendrait à les trouver…"
"en" => "How to understand the complexity of the financial markets? Is it rather a theater of uncertainty or risk? If so, can this be measured? Three methods make it possible to approach this complexity, through crises in particular, explains François Longin: one comes from statistics and mathematics, the second from history and the third from simulation, allowing one to experience the mechanisms of the financial markets. This methodological review is also an opportunity to discover that in finance, uncertainty and risk are not always where we would expect to find them …"
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
66 => Essec\Faculty\Model\Contribution {#2312
#_index: "academ_contributions"
#_id: "9742"
#_source: array:18 [
"id" => "9742"
"slug" => "the-margin-volatility-relation-a-test-based-on-extreme-price-movements"
"yearMonth" => "1994-01"
"year" => "1994"
"title" => "The Margin-Volatility Relation: A Test Based on Extreme Price Movements"
"description" => "LONGIN, F. (1994). <i>The Margin-Volatility Relation: A Test Based on Extreme Price Movements</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:19"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
67 => Essec\Faculty\Model\Contribution {#2313
#_index: "academ_contributions"
#_id: "4010"
#_source: array:18 [
"id" => "4010"
"slug" => "measuring-extreme-movements-in-foreign-exchange-markets-application-of-extreme-value-theory-to-stress-testing"
"yearMonth" => "2001-01"
"year" => "2001"
"title" => "Measuring Extreme Movements in Foreign Exchange Markets: Application of Extreme Value Theory to Stress Testing"
"description" => "LONGIN, F. (2001). Measuring Extreme Movements in Foreign Exchange Markets: Application of Extreme Value Theory to Stress Testing. Dans: <i>Global Financial Markets at the Turn of the Century</i>. 1st ed. Pergamon, pp. 310-320."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Global Financial Markets at the Turn of the Century"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "310-320"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La gestion des risques financiers est particulièrement concernée par les événements catastrophiques tels qu'un krach boursier, un effondrement du marché obligataire ou une crise des changes. Des instruments de gestion des risques tels que les modèles de value at risk ont été développés à la fois par des professionnels et des académiques pour évaluer le risque de positions de marché. Comme la plupart des modèles considèrent des conditions "normales" de marché, ils sont toujours complétés par des analyses de stress testing s'intéressant aux scénarios catastrophes. Ce papier propose une méthode rigoureuse fondée sur la théorie des valeurs extrêmes pour définir les scénarios catastrophes utilisés dans les méthodes de stress testing. La valeur de stress d'un facteur de risque est calculée pour une probabilité donnée, et inversement, une probabilité est calculée pour une valeur de stress donnée. Une application est donnée pour le marché des changes."
"en" => "Risk management is specially concerned with catastrophic events such as market crashes, collapses of the bond market or foreign exchange crises. Risk management tools such as value at risk models have been developed both by professionals and academics to evaluate the risk of market positions. As most of VaR models consider "normal" market conditions, they are completed by stress testing studies focusing on catastrophic events. This paper proposes a rigorous method based on the extreme value theory to define catastrophe scenarios used in stress testing methods. The stress value for a risk factor is computed for a given probability level, and inversely, a probability level is computed for a given stress value. An application is provided for foreign exchange markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
68 => Essec\Faculty\Model\Contribution {#2314
#_index: "academ_contributions"
#_id: "4419"
#_source: array:18 [
"id" => "4419"
"slug" => "beyond-the-var"
"yearMonth" => "2000-06"
"year" => "2000"
"title" => "Beyond the VaR"
"description" => "LONGIN, F. (2000). Beyond the VaR. Dans: <i>Les Journées Internationales de l'AFFI (CD-Rom)</i>. ESCP-EAP."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Les Journées Internationales de l'AFFI (CD-Rom)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le concept de Value at Risk (VaR) est maintenant considéré comme la référence en matière de mesure de risques. La VaR d'une position est un nombre qui tente de mesurer et de résumer le risque de cette position. Comme la VaR n'est pas en général une statistique exhaustive du risque, il est intéressant de connaître quel est le risque au-delà de la VaR. Ce papier s'intéresse au problème suivant : quelle est la perte moyenne d'une position sachant que la perte est supérieure à la VaR ? Un cadre statistique simple est développé pour répondre à cette question et une étude empirique est présentée avec plusieurs méthodes de VaR : la distribution des valeurs extrêmes, la distribution historique, la distribution normale non conditionnelle et des processus normaux conditionnels."
"en" => "The concept of Value at Risk (VaR) is now considered as the standard measure of risk. The VaR of a position is a single number whose aim is to allow to measure and summarize the risk of this position. As the VaR is not in general a sufficient statistics of risk, it is interesting to know what the risk is beyond the VaR. This paper addresses the following issue: what is the expected loss of a position knowing that the loss is greater than the VaR? A simple statistical framework is developed to answer this question and an empirical study is presented with several VaR methods: the extreme value distribution, the unconditional normal distribution and conditional normal processes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
69 => Essec\Faculty\Model\Contribution {#2315
#_index: "academ_contributions"
#_id: "4484"
#_source: array:18 [
"id" => "4484"
"slug" => "correlation-of-foreign-exchange-markets-an-extreme-value-study"
"yearMonth" => "1999-05"
"year" => "1999"
"title" => "Correlation of Foreign Exchange Markets: an Extreme Value Study"
"description" => "LONGIN, F. (1999). Correlation of Foreign Exchange Markets: an Extreme Value Study. Dans: <i>Globalization in the 21st Century</i>. International Trade and Finance Association (ITFA), pp. 15-32."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Globalization in the 21st Century"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "15-32"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cette recherche présente une étude empirique de la corrélation des marchés de change en période de forte volatilité caractérisée par des mouvements extrêmes des taux de change. La modélisation de la distribution des variations des taux de change s'appuie sur la théorie des valeurs extrêmes dans le cadre multivarié. Cette théorie statistique donne des résultats intéressants concernant la corrélation des variations de taux de change dans des conditions extrêmes de marché. Empiriquement, la corrélation des taux de change EUR/USD et EUR/JPY tend à décroître en période de forte volatilité. Un tel résultat est consistent avec l'hypothèse de normalité pour la distribution des variations de taux de change."
"en" => "This paper presents an empirical study of the correlation of foreign exchange markets focusing on periods of high volatility characterized by extreme variations in exchange rates. The modeling of the distribution of the changes in foreign exchange rates is based on multivariate extreme value theory. This statistical theory gives interesting results about the correlation of the changes in foreign exchange rates during extreme market conditions. Empirically, it is found that the correlation of the changes in the EUR/USD and EUR/JPY exchange rates tends to decrease in period of extreme volatility. Such a result is consistent with the hypothesis of normality for the distribution of changes in foreign exchange rates."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
70 => Essec\Faculty\Model\Contribution {#2316
#_index: "academ_contributions"
#_id: "4485"
#_source: array:18 [
"id" => "4485"
"slug" => "correlation-of-international-equity-markets-during-extremely-volatile-periods"
"yearMonth" => "1999-06"
"year" => "1999"
"title" => "Correlation of International Equity Markets during Extremely Volatile Periods"
"description" => "LONGIN, F. et SOLNIK, B. (1999). Correlation of International Equity Markets during Extremely Volatile Periods. Dans: <i>Actes de la Conférence de l'AFFI</i>. Université d'Aix-en-Provence, pp. 1-26."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "SOLNIK B."
]
]
"ouvrage" => "Actes de la Conférence de l'AFFI"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-26"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Des études récentes ont montré que la corrélation des rentabilités des marchés internationaux tendait à croître en période de forte volatilité. Cependant, le concept de corrélation devrait être utilisé avec précaution. Par exemple, en supposant que les rentabilités suivent une distribution normale bivariée avec une corrélation constante, la corrélation conditionnelle pendant une période de forte volatilité est supérieure à la corrélation conditionnelle pendant une période de faible volatilité (même si la corrélation de toutes les rentabilités est restée constante au cours du temps). Pour tester si la corrélation s'accroît en période de forte volatilité, la distribution de la corrélation conditionnelle doit être clairement spécifiée. Dans ce papier, nous nous intéressons à la corrélation conditionnelle des grandes rentabilités et nous étudions la structure de dépendance des rentabilités des marchés boursiers internationaux pendant les périodes de forte volatilité (haussières et baissières). Nous utilisons des valeurs extrêmes pour modéliser la distribution multivariée des grandes rentabilités. Cette théorie montre que sous l'hypothèse nulle d'une distribution normale multivariée avec une corrélation constante, la distribution de la corrélation conditionnelle des grandes rentabilités est bien spécifiée. Empiriquement, en utilisant des rentabilités mensuelles de janvier 1959 à décembre 1996 pour les cinq plus grands marchés boursiers, nous trouvons que la corrélation des grandes rentabilités positives n'est pas incohérente avec celle induite par l'hypothèse nulle, alors que la corrélation des grandes rentabilités négatives est bien supérieure à celle attendue."
"en" => "Previous studies in international finance have shown that correlation of international equity returns increases during volatile periods. However, correlation should be used with great care. For example, assuming a multivariate normal distribution with constant correlation, conditional correlation during volatile periods (large absolute returns) is higher than conditional correlation during tranquil periods (small absolute returns) even though the correlation of all returns remains constant. In order to test whether correlation increases during volatile periods, the distribution of the conditional correlation under the null hypothesis must then be clearly specified. In this paper, we focus on the correlation conditional to large returns and study the dependence structure of international equity markets during extremely volatile bear and bull periods. We use "extreme value theory" to model the multivariate distribution of large returns. This theory allows one to specify the distribution of correlation conditional to large negative or positive returns under the null hypothesis of multivariate normality with constant correlation. Empirically, using monthly data from January 1959 to December 1996 for the five largest stock markets, we find that the correlation of large positive return is not inconsistent with the assumption of multivariate normality while the correlation of large negative returns is much greater than expected under the assumption of multivariate normality."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
71 => Essec\Faculty\Model\Contribution {#2317
#_index: "academ_contributions"
#_id: "4488"
#_source: array:18 [
"id" => "4488"
"slug" => "cout-dinvestissement-a-la-bourse-de-paris"
"yearMonth" => "1999-06"
"year" => "1999"
"title" => "Coût d'investissement à la Bourse de Paris"
"description" => "CHEVALLIER, A. et LONGIN, F. (1999). Coût d'investissement à la Bourse de Paris. Dans: <i>Actes de la conférence de l'AFFI</i>. Université d'Aix-en-Provence, pp. 1-25."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "CHEVALLIER A."
]
]
"ouvrage" => "Actes de la conférence de l'AFFI"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-25"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le coût d'investissement à la Bourse de Paris se décompose en un coût de transaction (comprenant des frais explicites payés aux intermédiaires financiers, des coûts implicites liés aux imperfections du marché et des taxes financières) et des frais de gestion (comprenant des frais sur opérations particulières de gestion et des frais de tenue de compte). L'objectif de cette recherche est de décrire, de modéliser et d'estimer ces composantes. Nous considérons des investissements de caractéristiques différentes (montant investi, nombre d'ordres passés en bourse, prix de marché et nombre de lignes du portefeuille). Nous trouvons que le coût d'investissement dépend en particulier du prix de marché de l'action. Il existerait donc une zone optimale de prix dans laquelle le coût d'investissement est minimum. Un tel résultat a des implications pour tous les participants au marché (investisseurs, entreprises émettrices et la Bourse de Paris elle-même)."
"en" => "The cost of investing on the Paris Stock Exchange presents different components: trading costs (including the explicit fees paid to financial intermediaries, the cost due to market imperfections and financial taxes) and management costs (including fees for particular financial operations and account fees). The objective of this research is to describe, assess and estimate the different components of the investing cost. We consider portfolios with different characteristics (amount invested, trading strategies, market price of an asset share, and number of assets in the portfolio). We find that the cost of an investment particularly depends on the quoted price of a unit invested share. This implies the existence of an optimal range for the market price. This result has many implications for market participants (investors, firms, financial intermediaries and the Exchange itself)."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
72 => Essec\Faculty\Model\Contribution {#2318
#_index: "academ_contributions"
#_id: "4588"
#_source: array:18 [
"id" => "4588"
"slug" => "evaluating-the-probability-of-an-extreme-price-movement-different-approaches"
"yearMonth" => "1997-06"
"year" => "1997"
"title" => "Evaluating the Probability of an Extreme Price Movement : Different Approaches"
"description" => "CHANG, K. et LONGIN, F. (1997). Evaluating the Probability of an Extreme Price Movement : Different Approaches. Dans: <i>14e Conférence Internationale de Finance</i>. Université Pierre Mendes France, Grenoble, pp. 1-15."
"authors" => array:2 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "CHANG K."
]
]
"ouvrage" => "14e Conférence Internationale de Finance"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-15"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le risque est l'un des facteurs les plus importants dans la gestion financière. Ce papier met l'accent sur le risque extrême lié aux événements contenus dans les queues de distribution des actifs financiers. Nous présentons et comparons différentes méthodes d'estimation de mesure du risque : la distribution normale non conditionnelle, les processus conditionnels tels que le GARCH et le processus utilisé par RiskMetrics, la distribution des valeurs extrêmes et la distribution implicite dans les produits dérivés."
"en" => "Risk is one of the most important factors in financial management. This paper focuses on extreme risk related to events contained in the tails of the distributions of asset prices. We present and compare different methods for measuring risk : the unconditional normal distribution, conditional processes like the GARCH process and the process used in RiskMetrics, the extreme value distribution and the distribution implied by information based on the prices of derivatives."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
73 => Essec\Faculty\Model\Contribution {#2319
#_index: "academ_contributions"
#_id: "4929"
#_source: array:18 [
"id" => "4929"
"slug" => "optimal-margin-levels-in-futures-markets-a-parametric-extreme-based-method"
"yearMonth" => "1995-01"
"year" => "1995"
"title" => "Optimal Margin Levels in Futures Markets : A Parametric Extreme-based Method"
"description" => "LONGIN, F. (1995). Optimal Margin Levels in Futures Markets : A Parametric Extreme-based Method. Dans: <i>Research Symposium Proceedings</i>. Chicago Board of Trade, pp. 223-268."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "Research Symposium Proceedings"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "223-268"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce papier développe une nouvelle méthode pour fixer le niveau des dépôts de garantie (appels de marge) sur les marchés dérivés."
"en" => "This paper presents a new method to set margins in futures markets. The extreme Value Theory is used to derive the margin level desired by brokers and the margin committee."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
74 => Essec\Faculty\Model\Contribution {#2320
#_index: "academ_contributions"
#_id: "5093"
#_source: array:18 [
"id" => "5093"
"slug" => "stress-testing-application-of-extreme-value-theory-to-foreign-exchange-markets"
"yearMonth" => "1998-05"
"year" => "1998"
"title" => "Stress-Testing: Application of Extreme Value Theory to Foreign Exchange Markets"
"description" => "LONGIN, F. (1998). Stress-Testing: Application of Extreme Value Theory to Foreign Exchange Markets. Dans: <i>The Global Economy at the Turn of the Century-Volume II International Trade</i>. pp. 601-615."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "The Global Economy at the Turn of the Century-Volume II International Trade"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "601-615"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La gestion des risques financiers est particulièrement concernée par les événements catastrophiques tels qu'un krach boursier, un effondrement du marché obligataire ou une crise de changes. Des instruments de gestion des risques tels que les modèles de value at risk ont été développés à la fois par des professionnels et des académiques pour évaluer le risque de positions de marchés. Comme la plupart des modèles considèrent des conditions "normales" de marché, ils sont toujours complétés par des analyses de stress testing s'intéressant aux scénarios catastrophes. Ce papier propose une méthode rigoureuse fondée sur la théorie des valeurs extrêmes pour définir les scénarios catastrophes utilisés dans les méthodes de stress testing. La valeur de stress d'un facteur de risque est calculée pour une probabilité donnée, et inversement, une probabilité est calculée pour une valeur de stress donnée. Un application est donnée pour le marché des changes."
"en" => "Risk management is especially concerned with catastrophic event such as stock market crashes, collapses of the bond market or foreign exchange crises. Risk management tools such as value at risk models have been developed both by professionals and academics to evaluate the risk of market positions. As most of VaR models consider "normal" market conditions, they are completed by stress testing studies focusing on catastrophic events. This paper proposes a rigorous method based on extreme value theory to define catastrophe scenarios used in stress testing methods. The stress value for a risk factor is computed for a given probability level, and inversely, a probability level is computed for a given stress value. An application is provided for foreign exchange markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
75 => Essec\Faculty\Model\Contribution {#2321
#_index: "academ_contributions"
#_id: "5113"
#_source: array:18 [
"id" => "5113"
"slug" => "term-capital-guaranteed-fund-management-the-option-method-vs-the-cushion-method"
"yearMonth" => "2003-06"
"year" => "2003"
"title" => "Term Capital-guaranteed Fund Management: The Option Method vs. The Cushion Method"
"description" => "ABOU SALEH, D., LACOSTE, V. et LONGIN, F. (2003). Term Capital-guaranteed Fund Management: The Option Method vs. The Cushion Method. Dans: <i>Proceedings of AFFI - Lyon 2003</i>. ISFA Lyon."
"authors" => array:3 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
1 => array:1 [
"name" => "ABOU SALEH D."
]
2 => array:1 [
"name" => "LACOSTE V."
]
]
"ouvrage" => "Proceedings of AFFI - Lyon 2003"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Site Internet. Cet article traite des fonds garantis. En particulier, il s'intéresse aux fonds dont le capital est garanti à maturité. Deux techniques de gestion sont présentées : la méthode optionnelle et la méthode du coussin"
"en" => "This article deals with guaranteed funds, and especially funds which provide at maturity a guarantee of the capital invested. It presents two management methods: the option method and the cushion method."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
76 => Essec\Faculty\Model\Contribution {#2322
#_index: "academ_contributions"
#_id: "5218"
#_source: array:18 [
"id" => "5218"
"slug" => "value-at-risk-une-nouvelle-methode-fondee-sur-la-theorie-des-valeurs-extremes"
"yearMonth" => "1997-06"
"year" => "1997"
"title" => "Value at Risk : Une nouvelle méthode fondée sur la théorie des valeurs extrêmes"
"description" => "LONGIN, F. (1997). Value at Risk : Une nouvelle méthode fondée sur la théorie des valeurs extrêmes. Dans: <i>14e Conférence Internationale de Finance</i>. Université Pierre Mendes France, Grenoble, pp. 1-31."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "14e Conférence Internationale de Finance"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-31"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au calcul de la value at risk d'une position de marché. Cette théorie statistique permet de quantifier le comportement des mouvements extrêmes de prix et de taux. Empiriquement, nous montrons que la loi de Fréchet issue de la théorie décrit bien ce type de mouvement. Les mouvements extrêmes correspondent, en temps normal, à de simples secousses comme les ajustements ou les corrections de marché, mais aussi, en période extraordinaire, à de véritables tremblements de terre comme les krachs boursiers ou les crises de change."
"en" => "This article presents extreme value theory and its application to the computation of the value at risk of a position. This statistical theory allows to quantify the behavior of extreme movements in prices and rates. Empirically, it is shown that the Fréchet distribution is an accurate model for this type of movement. Extreme movements are associated with shocks like market adjustments or corrections during normal periods and also with "earthquakes" such as stock market crashes or foreign exchange crises observed during extraordinary periods."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
77 => Essec\Faculty\Model\Contribution {#2323
#_index: "academ_contributions"
#_id: "5219"
#_source: array:18 [
"id" => "5219"
"slug" => "value-at-risk-and-extreme-values"
"yearMonth" => "1998-07"
"year" => "1998"
"title" => "Value at Risk and Extreme Values"
"description" => "LONGIN, F. (1998). Value at Risk and Extreme Values. Dans: <i>CEFES'98</i>. Financial Management Association (FMA), pp. 1-5."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => "CEFES'98"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-5"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article propose un exposé des risques de marchés : mesure, contrôle et réglementation. Il considère en particulier l'impact des forts mouvements observés sur les marchés financiers sur la valeur et le risque d'un portefeuille. Il montre comment la théorie des valeurs extrêmes peut être utilisée pour mesurer les risques extrêmes de marché."
"en" => "This article proposes an overview of market risks : measure, control and regulation. In particular, it considers the impact of great market shocks on the value and the risk of a portfolio. It shows how extreme value theory can be used to measure extreme risk in finance."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
78 => Essec\Faculty\Model\Contribution {#2324
#_index: "academ_contributions"
#_id: "2730"
#_source: array:18 [
"id" => "2730"
"slug" => "the-treshold-effect-in-expected-volatility-a-model-based-on-asymmetric-information"
"yearMonth" => "1997-01"
"year" => "1997"
"title" => "The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information."
"description" => "LONGIN, F. (1997). The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information. <i>Review of Financial Studies</i>, pp. 837-869."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "837-869"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article développe une approche théorique pour expliquer l'effet de seuil observé dans la volatilité anticipée des prix des actifs financiers. L'effet de seuil signifie que les larges chocs sont moins persistants que les petits chocs dans la volatilité. Le modèle est similaire à celui construit par Kyle, Admati et Pfeiderer : il comprend des agents de liquidité, des agents informés et un mainteneur de marché. Le processus d'information est modelisé par un processus GARCH. Le processus du prix de marché suit alors un processus TARCH (pour GARCH à seuil)."
"en" => "This article develops theoretical insight into the treshold effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses the Kyle-Admati-Pfeiderer setup with liquidity traders, informed traders and a market maker. Information is modeled as a GARCH process. It is shown that the GARCH process for information is transformed into a TARCH process (meaning "treshold GARCH") for the market price changes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T12:21:50.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.221431
+"parent": null
}
79 => Essec\Faculty\Model\Contribution {#2325
#_index: "academ_contributions"
#_id: "2839"
#_source: array:18 [
"id" => "2839"
"slug" => "value-at-risk-une-nouvelle-approche-fondee-sur-les-valeurs-extremes"
"yearMonth" => "1998-01"
"year" => "1998"
"title" => "Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes"
"description" => "LONGIN, F. (1998). Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes. <i>Annales d'Économie et de Statistique</i>, pp. 23-51."
"authors" => array:1 [
0 => array:3 [
"name" => "LONGIN François"
"bid" => "B00000328"
"slug" => "longin-francois"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "23-51"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la théorie des valeurs extrêmes et son application au calcul de la value at risk d'une position de marché. Cette théorie statistique permet de quantifier le comportement des mouvements extrêmes de prix et de taux. Empiriquement, nous montrons que la loi de Fréchet issue de la théorie décrit bien ce type de mouvement. Les mouvements extrêmes correspondent, en temps normal, à de simples secousses comme les ajustements ou les corrections de marché, mais aussi, en période extraordinaire, à de véritables tremblements de terre comme les krachs boursiers ou les crises de change."
"en" => "This article presents extreme value theory and its application to the computation of the value at risk of a position. This statistical theory allows to quantify the behavior of extreme movements in prices and rates. Empirically, it is shown that the Fréchet distribution is an accurate model for this type of movement. Extreme movements are associated with shocks like market adjustments or corrections during normal periods and also with "earthquakes" such as stock market crashes or foreign exchange crises observed during extraordinary periods."
]
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"en" => "Finance"
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}
80 => Essec\Faculty\Model\Contribution {#2326
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"slug" => "le-directeur-financier-createur-de-valeur-et-co-pilote-de-lentreprise"
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"year" => "2010"
"title" => "Le directeur financier, créateur de valeur et co-pilote de l'entreprise"
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]
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}
81 => Essec\Faculty\Model\Contribution {#2327
#_index: "academ_contributions"
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"title" => "The Greta Effect in Investors’ Perception of Corporate Social Responsibility Events: Evidence From a Lab Experiment"
"description" => "LONGIN, F. et ZICARI, A. (2022). The Greta Effect in Investors’ Perception of Corporate Social Responsibility Events: Evidence From a Lab Experiment. Dans: 9th Strategic Management Latin America Conference 2022. Buenos Aires."
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"en" => "Finance"
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"indexedAt" => "2024-12-21T12:21:50.000Z"
]
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}
82 => Essec\Faculty\Model\Contribution {#2328
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"year" => "2022"
"title" => "The Greta Effect on Investors' Perception of Corporate Social Responsibility Events"
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}
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