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VDM Verlag Dependence Structures and Limiting Results: with Applications in Finance and Insurance

Name: Dependence Structures and Limiting Results: with Applications in Finance and Insurance
Brand: VDM Verlag
Price: 68.39 GBP
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Econometrics

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"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.

Product Specifications

Brand: VDM Verlag
Format: paperback
ASIN: 383649244X
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 10 December 2008
Listed Since: 22 December 2008

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About as cheap as it gets — within 5% of the all-time low it hit 3 months ago.

VDM Verlag Dependence Structures and Limiting Results: with Applications in Finance and Insurance

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About as cheap as it gets — within 5% of the all-time low it hit 3 months ago.

VDM Verlag Dependence Structures and Limiting Results: with Applications in Finance and Insurance

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