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Springer Extreme Financial Risks - Risk Management Book

Amazon

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Description

Extreme Financial Risks: From Dependence to Risk Management by Springer provides a deep look into portfolio analysis and optimization. This text addresses the necessity of understanding return distributions across different time scales and the properties of asset dependences. Focusing on tools that remain valid during large and extreme price moves, the book provides an original treatment of risk assessment. It places a strong emphasis on the theory of copulas, including their empirical testing and calibration. These methods offer complete measures of dependences, making this a vital resource for those studying applied mathematics and financial risk management.

Key Features

This Springer publication covers portfolio analysis and optimization alongside risk assessment and management.

The text focuses on concepts and tools that remain valid during large and extreme price moves.

Readers gain insights into the nature and properties of dependences between different assets.

The book provides a thorough treatment of the theory of copulas for measuring dependences.

Content includes methods for the empirical testing and calibration of copulas.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
02 November 2005
Listed Since
01 February 2007

Barcode

No barcode data available

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