User profiles for F. M. Longin

François Longin

Professor of Finance, ESSEC Business School
Verified email at essec.edu
Cited by 8751

From value at risk to stress testing: The extreme value approach

FM Longin - Journal of Banking & Finance, 2000 - Elsevier
This article presents an application of extreme value theory to compute the value at risk of a
market position. In statistics, extremes of a random process refer to the lowest observation (…

The asymptotic distribution of extreme stock market returns

FM Longin - Journal of business, 1996 - JSTOR
This article presents a study of extreme stock market price movements. According to
extreme value theory, the form of the distribution of extreme returns is precisely known and …

Optimal margin level in futures markets: Extreme price movements

FM Longin - Journal of Futures Markets: Futures, Options, and …, 1999 - Wiley Online Library
Along with price limits and capital requirements, the margin mechanism ensures the integrity
of futures markets. Margin committees and brokers in futures markets face a trade‐off when …

Beyond the var

FM Longin - The Journal of Derivatives, 2001 - jod.pm-research.com
… To address this problem, Longin discusses a related concept, the expected value of the loss
Longin presents an analysis with historical data to show how VaR and BVaR calculations …

The threshold effect in expected volatility: A model based on asymmetric information

FM Longin - The Review of Financial Studies, 1997 - academic.oup.com
This article develops theoretical insight into the threshold effect in expected volatility, which
means that large shocks are less persistent in volatility than small shocks. The model uses …

Optimal Margin Levels in Futures Markets: A Parametric Extreme-Based Method

FM Longin - London Business School Institute of Finance and …, 1999 - papers.ssrn.com
Margin committees and brokers in futures markets face a trade-off when setting the margin
level. A high level protects brokers against insolvent customers and then reinforces market …

The margin-volatility relationship: A test based on extreme price movements

FM Longin - London Business School Institute of Finance and …, 2000 - papers.ssrn.com
This paper re-examines the margin-volatility relationship in the US stock market. In previous
studies volatility has been measured by the variance of asset returns. Equity markets …

Application of flow cytometry to wine microorganisms

C Longin, C Petitgonnet, M Guilloux-Benatier… - Food …, 2017 - Elsevier
Flow cytometry (FCM) is a powerful technique allowing detection and enumeration of microbial
populations in food and during food process. Thanks to the fluorescent dyes used and …

[CITATION][C] Winning in the best and worst of times: Boom and crash options

FM Longin - International Conference of the French Finance …, 1996 - pascal-francis.inist.fr
Winning in the best and worst of times : boom and crash options CNRS Inist Pascal-Francis
CNRS Pascal and Francis Bibliographic Databases Simple search Advanced search Search by …

[HTML][HTML] Selection of protein phosphatase 2A regulatory subunits is mediated by the C terminus of the catalytic Subunit

S Longin, K Zwaenepoel, JV Louis, S Dilworth… - Journal of Biological …, 2007 - ASBMB
Protein phosphatase 2A (PP2A) is a family of multifunctional serine/threonine phosphatases
all composed of a catalytic C, a structural A, and a regulatory B subunit. Assembly of the …