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
Summary
Offering an original treatment of the domains of Portfolio analysis and optimization, along with the associated risk assessment and management, this book focuses mainly on the concepts and tools that remain valid for large and extreme price moves. It also places strong emphasis on the theory of copulas and their empirical testing and calibration
