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From value at risk to stress testing : the extreme value approach
Longin, François M. - In: Journal of banking & finance 24 (2000) 7, pp. 1097-1130
Persistent link: https://www.econbiz.de/10001483876
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Beyond the VaR
Longin, François M. - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 36-48
Persistent link: https://www.econbiz.de/10001613579
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The asymptotic distribution of extreme stock market returns
Longin, François M. - In: The journal of business : B 69 (1996) 3, pp. 383-408
Persistent link: https://www.econbiz.de/10001203930
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From value at risk to stress testing : the extreme value approach
Longin, François M. - 1999
Persistent link: https://www.econbiz.de/10013422797
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The choice of the distribution of asset returns : how extreme value theory can help?
Longin, François M. - In: Journal of banking & finance 29 (2005) 4, pp. 1017-1035
Persistent link: https://www.econbiz.de/10002601166
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Value at risk : une nouvelle approche fondée sur les valeurs extrêmes
Longin, François M. - In: Annales d'économie et de statistique (1998), pp. 23-51
Persistent link: https://www.econbiz.de/10001534513
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Le choix de la loi des rentabilités d'actifs financiers : les valeurs extrêmes peuvent aider
Longin, François M. - In: Finance : revue de l'Association Française de Finance 16 (1995) 2, pp. 25-47
Persistent link: https://www.econbiz.de/10001203108
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Conditional correlation in international equity returns
Longin, François M.; Solnik, Bruno - 1992
Persistent link: https://www.econbiz.de/10000838405
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Margin requirements with intraday dynamics
Cotter, John; Longin, François M. - In: Transparency governance and markets, (pp. 295-322). 2006
Persistent link: https://www.econbiz.de/10003359724
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Evénements extrêmes en finance
Longin, François M. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001702625