Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "4588"
  #_source: array:26 [
    "id" => "4588"
    "slug" => "evaluating-the-probability-of-an-extreme-price-movement-different-approaches"
    "yearMonth" => "1997-06"
    "year" => "1997"
    "title" => "Evaluating the Probability of an Extreme Price Movement : Different Approaches"
    "description" => "CHANG, K. et LONGIN, F. (1997). Evaluating the Probability of an Extreme Price Movement : Different Approaches. Dans: <i>14e Conférence Internationale de Finance</i>. Université Pierre Mendes France, Grenoble, pp. 1-15."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
      1 => array:1 [
        "name" => "CHANG K."
      ]
    ]
    "ouvrage" => "14e Conférence Internationale de Finance"
    "keywords" => []
    "updatedAt" => "2021-04-19 17:57:25"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "1-15"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Actes d'une conférence"
      "en" => "Conference Proceedings"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Le risque est l'un des facteurs les plus importants dans la gestion financière. Ce papier met l'accent sur le risque extrême lié aux événements contenus dans les queues de distribution des actifs financiers. Nous présentons et comparons différentes méthodes d'estimation de mesure du risque : la distribution normale non conditionnelle, les processus conditionnels tels que le GARCH et le processus utilisé par RiskMetrics, la distribution des valeurs extrêmes et la distribution implicite dans les produits dérivés."
      "en" => "Risk is one of the most important factors in financial management. This paper focuses on extreme risk related to events contained in the tails of the distributions of asset prices. We present and compare different methods for measuring risk : the unconditional normal distribution, conditional processes like the GARCH process and the process used in RiskMetrics, the extreme value distribution and the distribution implied by information based on the prices of derivatives."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T08:21:48.000Z"
    "docTitle" => "Evaluating the Probability of an Extreme Price Movement : Different Approaches"
    "docSurtitle" => "Actes d'une conférence"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>, CHANG K."
    "docDescription" => "<span class="document-property-authors">LONGIN François, CHANG K.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>Evaluating the Probability of an Extreme Price Movement : Different Approaches</b><br><span>1997-06 | Actes d'une conférence </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Evaluating the Probability of an Extreme Price Movement : Different Approaches</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.194345
  +"parent": null
}