Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "7927"
  #_source: array:26 [
    "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" => "2024-07-26T23:21:49.000Z"
    "docTitle" => "Beyond the VaR"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>"
    "docDescription" => "<span class="document-property-authors">LONGIN François</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>Beyond the VaR</b><br><span>1997-01 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Beyond the VaR</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.446465
  +"parent": null
}