Extreme Financial Risks
| Autor: | Yannick Malevergne, didier sornette |
|---|---|
| EAN: | 9783540272663 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 01.01.2006 |
| Untertitel: | From Dependence to Risk Management |
| Kategorie: | |
| Schlagworte: | Copula Financial Dependence Financial Modeling Financial Shock Measure Portfolio Portfolio Analysis Risk Management modeling optimization |
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'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
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