Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "3675"
  #_source: array:26 [
    "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" => "2024-04-24T14:21:59.000Z"
    "docTitle" => "From Value-at-risk to Stress-testing: the Extreme Value Approach"
    "docSurtitle" => "Book chapters"
    "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">2000</span>"
    "keywordList" => ""
    "docPreview" => "<b>From Value-at-risk to Stress-testing: the Extreme Value Approach</b><br><span>2000-07 | Book chapters </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">From Value-at-risk to Stress-testing: the Extreme Value Approach</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.410435
  +"parent": null
}