Extreme Financial Risks From Dependence to Risk Management /

• Κύριοι συγγραφείς: Malevergne, Yannick (Συγγραφέας), Sornette, Didier (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.