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Extreme Financial Risks - From Dependence to Risk Management (Paperback, 2006 ed.)
Yannick Malevergne, Didier Sornette"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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"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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Product Details
General
Imprint | Springer-Verlag |
Country of origin | Germany |
Release date | November 2005 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2006 |
Authors | Yannick Malevergne, Didier Sornette |
Dimensions | 240 x 160 x 19mm (L x W x T) |
Format | Paperback |
Pages | 312 |
Edition | 2006 ed. |
ISBN-13 | 978-3-540-27264-9 |
Barcode | 9783540272649 |
Categories | |
LSN | 3-540-27264-X |
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