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Extreme Financial Risks

Extreme Financial Risks PDF Author: Yannick Malevergne
Publisher: Springer Science & Business Media
ISBN: 3540272666
Category : Mathematics
Languages : en
Pages : 312

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Book Description
"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