Dependence Structures and Limiting Results

Name: Dependence Structures and Limiting Results
Brand: VDM Verlag
SKU: 9783836492447
Price: 31209 HUF
Availability: InStock

with Applications in Finance and Insurance

Szerző: Arthur Charpentier

Nyelv:

Kötés: Puha kötésű

Kiadó: VDM Verlag

Elérhetőség: Beszállítói készleten

Küldés 14-21 napon belül

31 209 Ft

"Extreme, synchronized rises and falls in financial§markets occur infrequently but they do occur. Th...

Információk a könyvről

Szerző

Arthur Charpentier

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2008

oldal

224

EAN

9783836492447

ISBN

383649244X

Enbook ID

06846737

Kiadó

VDM Verlag

Súly

304

Méretek

152 x 229 x 12

Teljes leírás

"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.

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták

Leggyakrabban keresett

Categories

Authors

Publishers

Termékek

Termékek

Leggyakrabban keresett

Categories

Authors

Publishers

Termékek

Termékek

Dependence Structures and Limiting Results

with Applications in Finance and Insurance

Információk a könyvről

Teljes leírás

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták