Extreme Financial Risks: From Dependence to Risk Management - Couverture souple

Malevergne, Didier Sornette, Yannick

Couverture souple

ISBN 10 : 354027264X ISBN 13 : 9783540272649

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2008

Synopsis

Here is an innovative treatment of three critical ingredients of successful portfolio analysis, risk assessment, risk management and portfolio optimization: (1) the characterization of processes underlying the time evolution of prices, (2) the corresponding distributions of returns at different time scales and (3) the nature and properties of dependences between the different assets. The text illustrates the strengths and limitations of stochastic models in management of extreme financial shocks, and studies the impact of conditioning on the size of large market moves on the measure of extreme dependences.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 2008
• Langue: anglais
• ISBN 10: 354027264X
• ISBN 13: 9783540272649
• Reliure: Broché
• Nombre de pages: 312
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Allemagne