Extreme financial risks : from dependence to risk management
著者
書誌事項
Extreme financial risks : from dependence to risk management
Springer, c2006
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注記
Includes bibliographical references (p. [283]-307) and index
内容説明・目次
内容説明
"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
目次
On the Origin of Risks and Extremes.- Marginal Distributions of Returns.- Notions of Copulas.- Measures of Dependences.- Description of Financial Dependences with Copulas.- Measuring Extreme Dependences.- Summary and Outlook.
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