Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "658"
  #_source: array:26 [
    "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" => "2024-04-19T00:21:44.000Z"
    "docTitle" => "Application de la Théorie des Valeurs Extrêmes aux Marchés Financiers"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>, BOULIER J.F., DALAUD R."
    "docDescription" => "<span class="document-property-authors">LONGIN François, BOULIER J.F., DALAUD R.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1998</span>"
    "keywordList" => ""
    "docPreview" => "<b>Application de la Théorie des Valeurs Extrêmes aux Marchés Financiers</b><br><span>1998-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Application de la Théorie des Valeurs Extrêmes aux Marchés Financiers</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.496174
  +"parent": null
}