Extreme Financial Risks From Dependence to Risk Management /

Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets. This book offers an original an...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Malevergne, Yannick (Autor), Sornette, Didier (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Temas:
Social sciences-Mathematics.
Probabilities.
System theory.
Statistics .
Econometrics.
Business.
Management science.
Mathematics in Business, Economics and Finance.
Probability Theory.
Complex Systems.
Statistics in Business, Management, Economics, Finance, Insurance.
Business and Management.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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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