Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "8509"
  #_source: array:26 [
    "id" => "8509"
    "slug" => "value-at-risk-une-nouvelle-methode-fondee-sur-la-theorie-des-valeurs-extremes"
    "yearMonth" => "1997-02"
    "year" => "1997"
    "title" => "Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes"
    "description" => "LONGIN, F. (1997). <i>Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes</i>. ESSEC Business School."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 18:37:46"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "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 et de taux. Empiriquement, nous montrons que la loi de Fréchet issue de la théorie décrit bien ce type de mouvement. 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."
      "en" => "This article presents extreme value theory and its application to the computation of the value at risk of a position. This statistical theory allows to quantify the behavior of extreme movements in prices and rates. Empirically, it is shown that the Fréchet distribution is an accurate model for this type of movement. Extreme movements are associated with shocks like market adjustments or corrections during normal periods and also with "earthquakes" such as stock market crashes or foreign exchange crises observed during extraordinary periods."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-26T19:21:52.000Z"
    "docTitle" => "Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes"
    "docSurtitle" => "Working Papers"
    "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">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes</b><br><span>1997-02 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.601533
  +"parent": null
}