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Extreme financial risks : from dependence to risk management / Yannick Malevergne, Didier Sornette.

By: Material type: TextTextLanguage: English Publication details: Berlin ; New York : Springer-Verlag, c2006.Description: xvi, 312 p. : ill. ; 24 cmISBN:
  • 354027264X (pbk.)
  • 9783540272649 (pbk.)
Subject(s): DDC classification:
  • 332.6015118 MAL 2006 22
  • 650 MAL 2006
LOC classification:
  • HG4529 .M35 2006
Contents:
1. On the origin of risks and extremes -- 2. Marginal distributions of returns -- 3. Notions of copulas -- 4. Measures of dependences -- 5. Description of financial dependences with copulas -- 6. Measuring extreme dependences -- 7. Summary and o
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Sách, chuyên khảo, tuyển tập Phòng DVTT Tổng hợp Kho tham khảo 332.6015118 MAL 2006 (Browse shelf(Opens below)) 1 Available A-D0/05639

Includes bibliographical references and index.

1. On the origin of risks and extremes -- 2. Marginal distributions of returns -- 3. Notions of copulas -- 4. Measures of dependences -- 5. Description of financial dependences with copulas -- 6. Measuring extreme dependences -- 7. Summary and o

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