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Extreme Financial Risks
ISBN-13:
9783540272663
Veröffentl:
2006
Seiten:
312
Autor:
Yannick Malevergne
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
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.
"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.
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.
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