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 …

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 (…

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 …

“Value at Risk has become a well-known and widely used approach to evaluating risk exposure,
even though what VaR measures, in an important sense, is really the value not at risk. …

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 …

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 …

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 …

… Author LONGIN, F. M …

… François M Longin Department of Finance ESSEC Graduate Business School Avenue …
Longin benefited from the financial support of the CERESSEC research fund and the BSI GAMMA …

this paper gives a general exposition of the subject of Value at Risk (VaR), which is now
considered as a standard measure of market risks. It is defined as the maximal loss of the …