Extreme financial risks : from dependence to risk management
Author(s)
Bibliographic Information
Extreme financial risks : from dependence to risk management
Springer, c2006
Available at 17 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
MAL||28||1200003619257
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"