Introduction to Bayesian Estimation and Copula Mod els of Dependence, Shemyakin

Автор: Malevergne Yannick, Sornette Didier
Название: Extreme Financial Risks / From Dependence to Risk Management
ISBN: 354027264X ISBN-13(EAN): 9783540272649
Издательство: Springer
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Цена: 9781.00 р.
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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.

Название: Книга "Copula Methods in Finance " на английском языке/ Авторы Umberto Cherubini, Elisa Luciano and Walter Vecchiato
ISBN: 0470863447 ISBN-13(EAN): 9780470863442
Издательство: Wiley
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Цена: 15048.00 р.
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Описание: Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

Автор: Jaworski
Название: Copula theory and its applications
ISBN: 364212464X ISBN-13(EAN): 9783642124648
Издательство: Springer
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Цена: 19564.00 р.
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Описание: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models.

Автор: Kinkyo Takuji Et Al
Название: Financial Linkages, Remittances, And Resource Dependence In East Asia
ISBN: 9814713392 ISBN-13(EAN): 9789814713399
Издательство: World Scientific Publishing
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Цена: 15523.00 р.
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Описание: The Purpose Of This Book Is To Empirically Analyse The Multifaceted Nature Of Financial Linkages In East Asia And To Discuss The Key Policy Challenges Faced By The Region'S Economies. Although The Emphasis Is Placed On East Asia, Some Of The Chapters Cover A Broader Area Of Countries Depending On The Aim Of The Study. Particular Areas Of Focus In These Studies Include: The Evolution Of Cross-Border Financial Linkages In East Asia; Long-Run Economic Consequences Of Remittance Inflows And Natural Resource Dependence; And Policy Priorities For The Financial Integration And Management Of Resource-Rich Economies.