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Více informací o knize Dependence Structures and Limiting Results

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• Anotace
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Anotace knihy

"Extreme, synchronized rises and falls in financial§markets occur infrequently but they do occur. The§problem with the models is that they did not assign a§high enough chance of occurrence to the scenario in§which many things go wrong at the same time - the§'em perfect storm' scenario" (Business Week,§September 1998).§§This book focuses on limiting theorems for copulae.§Because joint dependences of extremal events is§nowadays is key issue in risk management, it becomes§crucial to get a better understanding of behavior of§copulas in tails. The first chapter presents a survey§on copulae, and possible applications in risk§management. The following chapters present some§canonical theorems for copulae, and the link between§this approach and standard results on multivariate§extreme is explained. A concluding chapter presents a§survey on graphical procedures to represent copula§densities (with proper fit) in tails. "Extreme, synchronized rises and falls in financial§markets occur infrequently but they do occur. The§problem with the models is that they did not assign a§high enough chance of occurrence to the scenario in§which many things go wrong at the same time - the§''em perfect storm'' scenario" (Business Week,§September 1998).§This book focuses on limiting theorems for copulae.§Because joint dependences of extremal events is§nowadays is key issue in risk management, it becomes§crucial to get a better understanding of behavior of§copulas in tails. The first chapter presents a survey§on copulae, and possible applications in risk§management. The following chapters present some§canonical theorems for copulae, and the link between§this approach and standard results on multivariate§extreme is explained. A concluding chapter presents a§survey on graphical procedures to represent copula§densities (with proper fit) in tails.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Econometrics

• Plný název: Dependence Structures and Limiting Results
• Podnázev: with Applications in Finance and Insurance
• Autor: Arthur Charpentier
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 224
• EAN: 9783836492447
• ISBN: 383649244X
• ID: 06846737
• Nakladatelství: VDM Verlag
• Hmotnost: 304 g
• Rozměry: 229 × 152 × 12 mm
• Datum vydání: 01. December 2008

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