Extreme financial risks: from dependence to risk management
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2006
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XVI, 312 S. graph. Darst. |
| ISBN: | 354027264X 9783540272649 |
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| 245 | 1 | 0 | |a Extreme financial risks |b from dependence to risk management |c Yannick Malevergne ; Didier Sornette |
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| adam_text | Contents
On the Origin of Risks and Extremes
1.1
and Dependence
1.2
1.2.1
1.2.2
1.2.3
1.3
1.3.1
1.3.2
and the Fama-French Factor Model
1.3.3
1.3.4
in the Stock Markets
1.3.5
Appendix
l.A Why Do Higher Moments Allow
us to Assess Larger Risks?
Marginal Distributions of Returns
2.1
2.2
2.2.1
2.2.2
2.2.3
and Possible Alternatives
2.3
2.3.1
2.3.2
Convergence to Limit Generalized Extreme Value
(GEV) and Generalized Pareto (GPD) Distributions
XIV
2.3.3
Measures of Extreme Properties?
2.3.4
of Returns of the Dow Jones and Nasdaq Indices
2.4
2.4.1
2.4.2
and Anderson-Darling Distance
2.4.3
2.4.4
of the Different Families
2.5
2.5.1
2.5.2
2.5.3
Appendix
2.
2.B A Survey of the Properties
of Maximum Likelihood Estimators
2.C Asymptotic Variance-Covariance of Maximum
Likelihood Estimators of the
2.D Testing the Pareto Model versus
the Stretched-Exponential Model
3
3.1
3.2
3.3
3.3.1
3.3.2
3.3.3
3.4
of Dependent Random Variables
3.5
3.5.1
by Elliptical Copulas
3.5.2
by Smooth Copulas
3.6
3.6.1
3.6.2
3.6.3
3.6.4
Appendix
Contents
3.
for Functionals of Dependent Random Variables
3.B Sketch of a Proof of a Large Deviation Theorem
for Portfolios Made of Weibull Random Variables
3.C Relation Between the Objective
and the Risk-Neutral Copula
Measures of Dependences
4.1
4.1.1
4.1.2
4.1.3
Variables
4.2
4.2.1
4.2.2
4.2.3
Spearman s Rho and Gini s Gamma
4.3
4.4
4.5
4.5.1
4.5.2
4.5.3
4.5.4
Appendix
4.A Tail Dependence Generated by Student s Factor Model
Description of Financial Dependences with Copulas
5.1
5.1.1
5.1.2
5.1.3
5.1.4
5.2
5.2.1
5.2.2
5.3
5.3.1
5.3.2
5.3.3
5.3.4
5.4
Appendix
XVI
5.
for Testing Gaussian Copulas
5.B Hypothesis Testing with Pseudo Likelihood
6
6.1
6.1.1
6.1.2
6.2
6.2.1
6.2.2
6.2.3
for a Given Conditioning Set
6.2.4
6.2.5
6.2.6
6.3
6.3.1
6.3.2
6.3.3
6.4
6.5
Appendix
6.A Correlation Coefficient for Gaussian Variables
Conditioned on Both X and
6.B Conditional Correlation Coefficient for Student s
Variables
6.C Conditional Spearman s Rho
7
7.1
7.2
7.2.1
7.2.2
7.2.3
7.2.4
7.2.5
7.2.6
References
Index
Malevergne
·
Sornette
■ Extreme Financial
Risks
Portfolio analysis and optimization, together with the associated risk
assessment and management, require knowledge of the likely distribu¬
tions of returns at different time scales and insights into the nature
and properties of dependences between the different assets.
This book offers an original and thorough treatment of these two
domains, focusing mainly on the concepts and tools that remain valid
for large and extreme price moves. Strong emphasis is placed on the
theory of copulas and their empirical testing and calibration, because
they offer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to:
■
students looking for a general and in-depth introduction to the field;
■
financial engineers, economists, econometricians, actuarial
professionals;
■
researchers and mathematicians looking for a synoptic view
comparing the pros and cons of different modelling strategies;
■
and quantitative practitioners for the insights offered on the
subtleties and the many dimensional components of both risk and
dependence.
In
toto,
the content of this book will also be useful to a broader scientific
community interested in quantifying the complexity of many natural
and artificial processes in which a growing emphasis is on the role and
importance of extreme phenomena.
ISBN 3-540-27264-X
У
springeronline.com
|
| adam_txt |
Contents
On the Origin of Risks and Extremes
1.1
and Dependence
1.2
1.2.1
1.2.2
1.2.3
1.3
1.3.1
1.3.2
and the Fama-French Factor Model
1.3.3
1.3.4
in the Stock Markets
1.3.5
Appendix
l.A Why Do Higher Moments Allow
us to Assess Larger Risks?
Marginal Distributions of Returns
2.1
2.2
2.2.1
2.2.2
2.2.3
and Possible Alternatives
2.3
2.3.1
2.3.2
Convergence to Limit Generalized Extreme Value
(GEV) and Generalized Pareto (GPD) Distributions
XIV
2.3.3
Measures of Extreme Properties?
2.3.4
of Returns of the Dow Jones and Nasdaq Indices
2.4
2.4.1
2.4.2
and Anderson-Darling Distance
2.4.3
2.4.4
of the Different Families
2.5
2.5.1
2.5.2
2.5.3
Appendix
2.
2.B A Survey of the Properties
of Maximum Likelihood Estimators
2.C Asymptotic Variance-Covariance of Maximum
Likelihood Estimators of the
2.D Testing the Pareto Model versus
the Stretched-Exponential Model
3
3.1
3.2
3.3
3.3.1
3.3.2
3.3.3
3.4
of Dependent Random Variables
3.5
3.5.1
by Elliptical Copulas
3.5.2
by Smooth Copulas
3.6
3.6.1
3.6.2
3.6.3
3.6.4
Appendix
Contents
3.
for Functionals of Dependent Random Variables
3.B Sketch of a Proof of a Large Deviation Theorem
for Portfolios Made of Weibull Random Variables
3.C Relation Between the Objective
and the Risk-Neutral Copula
Measures of Dependences
4.1
4.1.1
4.1.2
4.1.3
Variables
4.2
4.2.1
4.2.2
4.2.3
Spearman's Rho and Gini's Gamma
4.3
4.4
4.5
4.5.1
4.5.2
4.5.3
4.5.4
Appendix
4.A Tail Dependence Generated by Student's Factor Model
Description of Financial Dependences with Copulas
5.1
5.1.1
5.1.2
5.1.3
5.1.4
5.2
5.2.1
5.2.2
5.3
5.3.1
5.3.2
5.3.3
5.3.4
5.4
Appendix
XVI
5.
for Testing Gaussian Copulas
5.B Hypothesis Testing with Pseudo Likelihood
6
6.1
6.1.1
6.1.2
6.2
6.2.1
6.2.2
6.2.3
for a Given Conditioning Set
6.2.4
6.2.5
6.2.6
6.3
6.3.1
6.3.2
6.3.3
6.4
6.5
Appendix
6.A Correlation Coefficient for Gaussian Variables
Conditioned on Both X and
6.B Conditional Correlation Coefficient for Student's
Variables
6.C Conditional Spearman's Rho
7
7.1
7.2
7.2.1
7.2.2
7.2.3
7.2.4
7.2.5
7.2.6
References
Index
Malevergne
·
Sornette
■ Extreme Financial
Risks
Portfolio analysis and optimization, together with the associated risk
assessment and management, require knowledge of the likely distribu¬
tions of returns at different time scales and insights into the nature
and properties of dependences between the different assets.
This book offers an original and thorough treatment of these two
domains, focusing mainly on the concepts and tools that remain valid
for large and extreme price moves. Strong emphasis is placed on the
theory of copulas and their empirical testing and calibration, because
they offer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to:
■
students looking for a general and in-depth introduction to the field;
■
financial engineers, economists, econometricians, actuarial
professionals;
■
researchers and mathematicians looking for a synoptic view
comparing the pros and cons of different modelling strategies;
■
and quantitative practitioners for the insights offered on the
subtleties and the many dimensional components of both risk and
dependence.
In
toto,
the content of this book will also be useful to a broader scientific
community interested in quantifying the complexity of many natural
and artificial processes in which a growing emphasis is on the role and
importance of extreme phenomena.
ISBN 3-540-27264-X
У
springeronline.com |
| any_adam_object | 1 |
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| illustrated | Illustrated |
| index_date | 2024-07-02T13:43:11Z |
| indexdate | 2024-07-09T20:34:14Z |
| institution | BVB |
| isbn | 354027264X 9783540272649 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014587152 |
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| physical | XVI, 312 S. graph. Darst. |
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| spelling | Malevergne, Yannick Verfasser aut Extreme financial risks from dependence to risk management Yannick Malevergne ; Didier Sornette Berlin [u.a.] Springer 2006 XVI, 312 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s Finanzmathematik (DE-588)4017195-4 s DE-604 Sornette, Didier 1957- Verfasser (DE-588)171887921 aut Erscheint auch als Online-Ausgabe 978-3-540-27266-3 Digitalisierung UBRegensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014587152&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014587152&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Malevergne, Yannick Sornette, Didier 1957- Extreme financial risks from dependence to risk management Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4046834-3 (DE-588)4121590-4 |
| title | Extreme financial risks from dependence to risk management |
| title_auth | Extreme financial risks from dependence to risk management |
| title_exact_search | Extreme financial risks from dependence to risk management |
| title_exact_search_txtP | Extreme financial risks from dependence to risk management |
| title_full | Extreme financial risks from dependence to risk management Yannick Malevergne ; Didier Sornette |
| title_fullStr | Extreme financial risks from dependence to risk management Yannick Malevergne ; Didier Sornette |
| title_full_unstemmed | Extreme financial risks from dependence to risk management Yannick Malevergne ; Didier Sornette |
| title_short | Extreme financial risks |
| title_sort | extreme financial risks from dependence to risk management |
| title_sub | from dependence to risk management |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Finanzmathematik Portfolio Selection Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014587152&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014587152&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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