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Book synopsis

"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.

Book details

Book category Books in English Economics, finance, business & management Economics Econometrics

• Full title: Dependence Structures and Limiting Results
• Subtitle: with Applications in Finance and Insurance
• Author: Arthur Charpentier
• Language: English
• Binding: Paperback
• Number of pages: 224
• EAN: 9783836492447
• ISBN: 383649244X
• ID: 06846737
• Publisher: VDM Verlag
• Weight: 304 g
• Dimensions: 229 × 152 × 12 mm
• Date of publishing: 01. December 2008

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