Malevergne Yannick, Sornette Didier Extreme Financial Risks / From Dependence to Risk Management 9783540272649

Варианты приобретения

Цена: 9781.00р.
Кол-во:
Наличие: Поставка под заказ. Есть в наличии на складе поставщика.
Склад Америка: Есть
При оформлении заказа до: 2025-07-28
Ориентировочная дата поставки: Август-начало Сентября
При условии наличия книги у поставщика.

Добавить в корзину

в Мои желания

Автор: Malevergne Yannick, Sornette Didier
Название: Extreme Financial Risks / From Dependence to Risk Management
Перевод названия: Чрезвычайные финансовые риски
ISBN: 9783540272649
Издательство: Springer
Классификация:

Эконометрика

Финансы

Инвестиции и ценные бумаги

Вероятность и статистика

Прикладная математика

ISBN-10: 354027264X
Обложка/Формат: Paperback
Страницы: 328
Вес: 0.49 кг.
Дата издания: 02.11.2005
Серия: Springer finance
Язык: English
Иллюстрации: 62 black & white illustrations, 16 black & white tables, biography
Размер: 234 x 160 x 19
Читательская аудитория: Professional & vocational
Подзаголовок: From dependence to risk management
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Германии
Описание: 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; andquantitative 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 natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.
Дополнительное описание: Формат: 235x155
Илюстрации: 62
Круг читателей: Everyone working in the field of finance, economics, business management and insurance.
Ключевые слова: Financial Shock
Financial Modeling
Copula
Financial Dependence
Portfolio Analysis
Risk Management
Язык: eng
Оглавление: 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.

Extreme Financial Risks / From Dependence to Risk Management, Malevergne Yannick, Sornette Didier