| 書(shū)目名稱(chēng) | Extreme Financial Risks | | 副標(biāo)題 | From Dependence to R | | 編輯 | Yannick Malevergne,Didier Sornette | | 視頻video | http://file.papertrans.cn/321/320023/320023.mp4 | | 概述 | This is the first book to offer an in-depth introduction to the field to a broad range of graduate students, scientists and professionals such as econophysicists, financial engineers, economists, econ | | 圖書(shū)封面 |  | | 描述 | .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 and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences...Extreme Financial?Risks will be useful to: ..students looking for a general and in-depth introduction to the field; ..financial engineers, economists, econometricians, actuarial professionals; ..researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; and..quantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence. ..In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many | | 出版日期 | Book 2006 | | 關(guān)鍵詞 | Copula; Financial Dependence; Financial Modeling; Financial Shock; Measure; Portfolio; Portfolio Analysis; | | 版次 | 1 | | doi | https://doi.org/10.1007/b138841 | | isbn_softcover | 978-3-540-27264-9 | | isbn_ebook | 978-3-540-27266-3 | | copyright | Springer-Verlag Berlin Heidelberg 2006 |
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