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Book Cover
Author Malevergne, Yannick

Title Extreme financial risks : from dependence to risk management / Yannick Malevergne, Didier Sornette
Published Berlin ; New York : Springer-Verlag, ©2006


Description 1 online resource (xvi, 312 pages) : illustrations
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
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
Bibliography Includes bibliographical references and index
Notes Print version record
In Springer e-books
Subject Investment analysis -- Mathematical models
Stochastic models.
Risk management -- Mathematical models
Distribution (Probability theory)
distribution (statistics-related concept)
businesses (business enterprises)
BUSINESS & ECONOMICS -- Investments & Securities -- General.
Stochastic models.
Risk management -- Mathematical models.
Risk management.
Investment analysis -- Mathematical models.
Distribución (Teoría de probabilidades)
Sistemas estocásticos
Investment analysis -- Mathematical models
Risk management -- Mathematical models
Stochastic models
Risk management.
Form Electronic book
Author Sornette, Didier, 1957-
LC no. 2005930885
ISBN 9783540272663