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...
Zapisane w:
| Główni autorzy: | , |
|---|---|
| Format: | Livre numérique |
| Język: | Anglais |
| Wydane: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Hasła przedmiotowe: | |
| Dostęp online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Komentarz: |
Description d'après consultation du 24 mars 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Extreme financial risks, from dependence to risk management, Yannick Malevergne, Didier Sornette, 2006, Berlin, Springer, 1 vol. (XVI-312 p.), 3-540-27264-X |
Spis treści:
- 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.