Dependence Structures and Limiting Results

Name: Dependence Structures and Limiting Results
Brand: VDM Verlag
SKU: 9783836492447
Price: 344.81 PLN
Availability: InStock

with Applications in Finance and Insurance

Autor: Arthur Charpentier

Język:

Oprawa: Miękka

Wydawca: VDM Verlag

Dostępność: Dostępna u dostawcy

Wysyłamy za 14-21 dni

344.81 zł

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

Informacje o książce

Autor

Arthur Charpentier

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2008

strony

224

EAN

9783836492447

ISBN

383649244X

Enbook ID

06846737

Wydawca

VDM Verlag

Waga

304

Wymiary

152 x 229 x 12

Pełny opis

"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.

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Dependence Structures and Limiting Results

with Applications in Finance and Insurance

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