Extreme financial risks : from dependence to risk management

Author(s)

• Malevergne, Yannick
• Sornette, Didier

Bibliographic Information

Extreme financial risks : from dependence to risk management

Yannick Malevergne, Didier Sornette

Springer, c2006

Note

Includes bibliographical references (p. [283]-307) and index

Description and Table of Contents

Description

"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

Table of Contents

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.

by "Nielsen BookData"

Details

• NCID: BA74426931
• ISBN:
  • 354027264X
• LCCN: 2005930885
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Berlin
• Pages/Volumes: xvi, 312 p.
• Size: 24 cm