François Longin

Education

PhD, HEC Graduate School of Management Ecole Nationale des Ponts et Chaussées

Biography

François
Longin - Financial innovation
Dr François Longin pursues a career in banking and finance by allying research, consulting and training. François Longin graduated from the engineering school Ecole Nationale des Ponts et Chaussées in 1990 and from the PhD Program at HEC Graduate School of Management in 1993. His thesis was about extreme movements in financial markets such as stock market crashes. He then conducted research on financial markets at New York University and London Business School. François''s main research interest lies in extreme events in finance such as stock market crashes. For many years he has been working on the applications of extreme value theory to financial markets : the statistical distribution of extreme returns, the setting of margins in derivatives markets, the impact of financial regulation on market volatility, the improvement of portfolio management techniques during highly volatile periods, the computation of value at risk for market positions, the definition of catastrophe scenarios for stress testing... His research has been applied by financial institutions in the risk management area (market, credit and operational risks). He received the Chicago Board of Trade award for his research on derivative products. Some of his research works can be found in scientific journals such as The Journal of Finance, Journal of Business, Review of Financial Studies, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Futures Markets, Journal of Derivatives and
Journal of Asset Management. François has worked for many years as managing director of a research and innovation department in a leading international financial institution where he managed a team of financial engineers working for the bank trading rooms and asset management firms. He is currently a financial consultant and his domain of expertise covers risk management for financial institutions, portfolio management for asset management firms, financial management for non-financial firms and wealth management for individuals. He aslo animates FinLink, which is a professional network specialized in the banking,
insurance and finance sectors. François Longin
has been
a professor of finance at ESSEC School of Business since 1994. For more information about François Longin please look at
François Longin FinLink profile

To follow resaerch publications by Professor
Longin please look at François Longin Google Scholar profile For a detailed presentation of Professor Longin''s activities
please visit Longin Inside

Research Areas

Areas

Extreme events in finance

Modelling of stock market crashes with extreme value theory

Applications for risk management and capital requirements for financial institutions
Risk management

Methods to compute the
value at risk (VaR) for a market position

Definition of
catastrophe scenarios for
stress testing

Computation of capital requirement
for
banks



Computation of margin deposits for derivatives markets
Asset management

Correlation and
portfolio diversification during financial crises

Portfolio management during financial crises
Market micro-structure

Trading strategies

Investors'' behavior



Wealth management

Valuation of investment strategies

Valuation of the impact of fiscal schemes

Wealth creation for investors

Sectors

Banking Insurance and Finance

Consulting in bank risk management
: market risk, cedit risk and operational risk

Consulting in modelling
derivatives products : options pricing, structured products

Research on the statistical behavior of asset prices :
applications of extreme value theory

Research on financial risks :
value at risk, stress testing, stock market crashes

Executive education : financial markets, financial products, risk management, wealth management


Professional networking : animation of the FinLink network specialized in the banking, insurance and finance sectors All sectors

Consulting in financial management : business plan and funding

Executive education : financial management, cash management, corporate risk management

On-going Projects

Research in finance

Applications of extreme value theory in finance

Risk management during periods of financial stress : value at risk and
stress testing

Portfolio management during periods of financial stress : extreme correlation and
crash options



DNA testing


Valuation of on-line social networks : construction of the FinLink database for research purpose
Executive training at ESSEC

Wealth management

Business plan


Cash management and corporate risk management


Creation of teaching cases

Financial management

Risk management

Wealth management On-line networking

Animation of the FinLink network : FinLink is a professionnal network specialized in the
banking, insurance and finance sectors.

Animation of FinLink communities : Club ESSEC Gestion financière
and Club ESSEC Gestion de patrimoine Development of on-line tools

Financial risk mapping

DNA testing

Modelling tools for finance: option pricers, structured products models, simulators Building of an interactive glossary

Terms used in banking, insurance and finance

Inter-links, links to useful resources

Teaching at ESSEC

ESSEC Initial period
(Cergy)



Financial management course (FIN 021) : coordinator and professor for the basic course of finance
for first-year students

ESSEC
MBA
(Cergy)



Short-term financial management course (FIN 125) :
coordinator and professor



Bank management (FIN 259) : coordinator and professor



Wealth management (FIN 240) : coordinator and professor ESSEC Master in Financial techniques
and
Master in Finance & Asset management

(Cergy)



Short-term financial management course (FIN 125) :

professor



Wealth management course (FIN 240) : coordinator and professor ESSEC Executive Education
- Wealth management
training (Paris - La Défense)




Discover the training program




Register to the program
Wealth management panorama

(two-day seminar) : coordinator and professor ESSEC Certificate in Wealth management
(Fundamental level) (5 two-day seminars) : coordinator and porfessor




Fiscal and law framework
seminar




Life insurance, pension
seminar




Real estate investment
seminar





Financial products seminar





The art of selling and bargaining in wealth management
seminar ESSEC Certificate in Wealth management (Expert level) (5 two-day seminars) :
coordinator and porfessor




Selling his/her own wealth management advice to firm managers
seminar




How to sell new financial asset classes
seminar





Understanding the new techniques in portfolio management
seminar




Using the new regulation in wealth management
seminar




The art of selling and bargaining in wealth management
: how to sell more and negociate big deals ?
seminar ESSEC Executive Education
- Specialized master in Financial management and control (Paris La Défense)



Cash management course



Risk management course



Business plan course ESSEC Executive Education
-
1 year cursus
in Contral and Finance
(Paris La Défense)



Cash management course



Risk management course ESSEC Executive Education - Specific training in firms

Other Teaching Activities

Animation of clubs Beyond training, I create, develop and support
clubs that gather students in the
ESSEC MBA (Cergy),
participants at ESSEC Executive Education (La Défense), and
professors in these training
programs. The animation of these clubs takes two
forms : the animation of an on-line
communauty on the
FinLink network which allows each member to introduce himself/herself and to communicate with each other, and
the
organisation of
conferences. Club ESSEC Gestion financière
: this
club aims at sharing knowledge and know-how in the financial management area. "Gérer, c''est prévoir et décider" is the motto of the club. Club ESSEC Gestion de patrimoine : animated by Gabriel Eschbach, this
club aims at sharing the passion of wealth management.
"Entreprenons ensemble" is the motto of the club. Students tutoring Tutoring of ESSEC MBA students and apprentices Tutoring of first-year ESSEC students for their project with firms ("projet inter entreprise" or PIE in French) Coaching of former ESSEC students (start-up) Supervision of professional theses for master students
(Financial techniques master,
Finance & Asset management master, Gestion financière
Contrôle master
and
Contrôle de gestion Finance 1-year cursus) Supervision of academic theses for students in the ESSEC doctoral program