Year
1999
Authors
LONGIN François, BOULIER J.F.
Abstract
Extreme risks in financial markets often take the form of stock market crashes, currency crises, and collapses of the bond markets… The following article demonstrates how the statistical behaviour of such developments, which have long been considered as abnormal, can be understood in the light of the extreme value theory.
BOULIER, J.F. et LONGIN, F. (1999). Risques extrêmes sur les marchés financiers. Risques, pp. 80-84.