Extreme Financial Risks (el. knyga) (skaityta knyga) | knygos.lt

Aprašymas

Portfolio analysis, risk assessment, risk management and portfolio optimization require ideally (1) the characterization of the processes underlying the time evolution of prices, (2) the corresponding distributions of returns at different time scales and (3) the nature and properties of dependences between the different assets. The present book offers an original and thorough treatment of these three points, focusing mainly on the concepts and tools that remain useful for large and extreme price moves. Its originality lies in (i) an extensive presentation of stochastic models with an emphasis on their limits and their mutual inter-relationship, (ii) a revisitation of different marginal distributions for fiancial returns with their relative pros and cons and an honnest statement of the state-of-the-art and (iii) the emphasis on recent measures of dependences, both unconditional and conditional and a study of the impact of conditioning on the size of large moves on the measure of extreme dependences.