Yannick Malevergne, Didier Sornette

Extreme Financial Risks (eBook, PDF)

From Dependence to Risk Management

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 312
• Erscheinungstermin: 1. Januar 2006
• Englisch
• ISBN-13: 9783540272663
• Artikelnr.: 37370373

Autorenporträt

Yannick Malevergne, CNRS and University of Nice-Sophia Antipolis, France / Didier Sornette, CNRS and University of Nice-Sophia Antipolis and UCLA, USA

Inhaltsangabe

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.

Rezensionen

From the reviews:

"This book 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. ... It is well organized and systematically brings a vivid portrayal of the subject to researchers and graduate students in mathematics and statistics." (John Tuhao Chen, Mathematical Reviews, Issue 2006 j)

"Its originality lies in detailed and thorough presentations of the state of the art on (i) the different distributions of financial returns for various applications (Value-at-Risk, stress testing), and (ii) the most important and useful measures of dependences ... . Many of the results presented here are novel and have notbeen published or have been recently obtained by the authors or their colleagues." (Alexandr B. Vasil'ev, Zentralblatt MATH, Vol. 1093 (19), 2006)

"Extreme Financial Risk deals with the modeling of extreme events with applications in finance. ... The book is very well structured. ... the book is written in a very lucid style, very easy to understand. Detailed proofs of certain results are given in the appendices at the end of each chapter. ... The authors also provide a large list of references, which could make this text very attractive for researchers. ... Students interested in extreme events in financial markets would find this an interesting text." (Ita Cirovic Donev, MathDL, March, 2006)