Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "2604"
  #_source: array:26 [
    "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" => "2024-04-26T14:22:00.000Z"
    "docTitle" => "The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help?"
    "docSurtitle" => "Journal articles"
    "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">2005</span>"
    "keywordList" => ""
    "docPreview" => "<b>The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help?</b><br><span>2005-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help?</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.094854
  +"parent": null
}