Extreme Financial Risks: From Dependence to Risk Management

by Didier Sornette and Yannick Malevergne

"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject."...

• Format: Paperback
• Language: English
• ISBN: 354027264X
• ISBN13: 9783540272649
• Release Date: November 2005
• Publisher: Springer
• Length: 312 Pages
• Weight: 1.15 lbs.
• Dimensions: 0.7" x 6.3" x 9.3"