Monthly Archives: September 2017

The LTCM crisis: what can we learn 20 years after?

Posted on 16/09/2017 by Matthieu Benavoli

The LTCM crisis: what can we learn 20 years after? This post about the LTCM crisis presents a recent resource about financial crises added by Matthieu Benavoli financial analyst at Ace Finance Conseil. LTCM LTCM, “Long Term Capital Management”, was … Continue reading →

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Introducing the asymmetric time-exceedance model with optimal threshold

Posted on 12/09/2017 by Dr Konstantinos Gkillas

Introducing the asymmetric time-exceedance model with optimal threshold This post presents a recent paper by Gkillas, Longin and Tsagkanos (2017). This paper introduces a new model with asymmetric time-exceedance of extreme shocks defined with optimal threshold derived from extreme value … Continue reading →

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