Extreme Financial Risks From Dependence to Risk Management /

• Main Authors: Malevergne, Yannick (Author), Sornette, Didier (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Subjects: Mathematics.; Business.; Management science.; Economics, Mathematical.; Probabilities.; Statistical physics.; Dynamical systems.; Statistics.; Econometrics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Statistical Physics, Dynamical Systems and Complexity.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Business and Management, general.

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...

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.