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Extreme financial risks: from dependence to risk management
Book

Extreme financial risks: from dependence to risk management

Yannick Malevergne and Didier Sornette
Springer
01/01/2006

Abstract

Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject.

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