Multidisciplinary research at ESSEC in extreme events
It is my greatest pleasure and privilege, as the Dean of ESSEC Faculty, to talk about the Wiley handbook Extreme Events in Finance edited by my colleague Prof. François Longin from the Finance Department. This work is based on multidisciplinary research involving colleagues from different areas.
Besides my institutional role, I am a Professor of Statistics and Data Analysis. As such, I have witnessed how, for several decades, academic research has very often considered – and I dare to say wrongly – extreme events simply as outliers or anomalous observations. The related data were then removed from the empirical analysis, sometimes explained by means of extra-statistical considerations but very rarely modeled.
Extreme events: high impact of daily life
Nowadays, crashes, crises and extreme conditions happen more regularly – and sometimes even simultaneously – in different domains and in different parts of the world with a potentially high impact on the daily life of both individuals and the society as a whole.
Beyond normality
In this new framework, the classical assumptions – such as normality, linearity and stationarity just to mention a few – are routinely violated and the complete distributions of events are less and less available. Moreover, we are more and more frequently led to work on spikes and heavy tails. As a consequence, the Extreme Value Theory and Analysis cannot be ignored any longer by all sorts of companies, banks, regulators and, more generally, private organizations and even public bodies.
Indeed, the area needs academic multidisciplinary research as it is characterized by several advanced technicalities for the theoretical, conceptual and methodological developments but also by significant application relevance. Then, at ESSEC we can boost the contribution provided by professors from different fields such as Statistics, Mathematics, Finance, Economics, Marketing and Management among others. This is definitely an asset for us as we can propose a comprehensive approach to risk analysis and management.
A multidisciplinary research approach
At the same time, the pool of professors that have been developing for many years research in Extreme Events at ESSEC, also enjoy the collaboration with a large panel of external partners such as private and central banks, fund management firms, insurance companies, manufacturers and software developers that operate in an international and multi-polar environment.
Following ESSEC conference on Extreme Events in Finance at Royaumont Abbey in December 2014, I am very happy to see the long-term project of the Wiley handbook Extreme Events in Finance finally achieved. Like the conference, this handbook shows the productivity and multidisciplinary research approach of ESSEC professors with participation of Laurent Bibard (Management Department), Jean-Marie Choffray (Marketing Department) and Marie Kratz (Information Systems, Decision Sciences and Statistics Department & CREAR). Two ESSEC alumni also contributed: Maxime Laot and Christian Walter. Gabriel Eschbach (ESSEC alumni in wealth management) from ACE Finance & Conseil also sponsored the “Extreme Events in Finance” project.
Enjoy your reading.
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Vincenzo Esposito Vinzi
Dean of faculty and Professor of statistics and data analysis
ESSEC Business School