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Journal articles (2001), La Revue de l'AFPEN, pp. 5-12

Pension Funds and Stock Market Crashes

"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.

LONGIN, F. (2001). Pension Funds and Stock Market Crashes. La Revue de l'AFPEN, pp. 5-12.