Extreme Financial Risks by Yannick Malevergne

Extreme Financial Risks by Yannick Malevergne

"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. 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."

From the reviews:

"This book clearly elucidates extreme financial risks associated with rare events such as financial crashesThe 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. … It is well organized and systematically brings a vivid portrayal of the subject to researchers and graduate students in mathematics and statistics." (John Tuhao Chen, Mathematical Reviews, Issue 2006 j)

"Its originality lies in detailed and thorough presentations of the state of the art on (i) the different distributions of financial returns for various applications (Value-at-Risk, stress testing), and (ii) the most important and useful measures of dependences … . Many of the results presented here are novel and have not been published or have been recently obtained by the authors or their colleagues." (Alexandr B. Vasil’ev, Zentralblatt MATH, Vol. 1093 (19), 2006)

"Extreme Financial Risk deals with the modeling of extreme events with applications in finance. … The book is very well structured. … the book is written in a very lucid style, very easy to understand. Detailed proofs of certain results are given in the appendices at the end of each chapter. … The authors also provide a large list of references, which could make this text very attractive for researchers. … Students interested in extreme events in financial markets would find this an interesting text." (Ita Cirovic Donev, MathDL, March, 2006)

Dmitry Chernov is a senior researcher at the Chair of Entrepreneurial Risks at ETH Zurich. He has more than 10 years of experience as a corporate emergency management consultant within the following industries: oil and gas, electric power, chemicals, FMCG, transport, telecommunication and other retail services. He specializes in research of managerial differences between different economic sectors and in the development of practical solutions for efficient risk information transmission that enable timely decision-making before and during industrial disasters.

Didier Sornette is Professor on the Chair of Entrepreneurial Risks at ETH Zurich, also a professor of the Swiss Finance Institute, and is associated with both the departments of Physics and of Earth Sciences at ETH Zurich. He is also a fellow of the AAAS among many other titles and memberships. Prof. Sornette is a passionate researcher in complex system and extreme risks. He uses rigorous data-driven mathematical statistical analyses combined with nonlinear multi-variable dynamical models including positive and negative feedbacks to study the predictability and control of crises and extreme events in complex systems, with applications to all domains of science and practice, including earthquake predictions, financial bubbles and crashes, nuclear risk, cyber risk, social networks, medical sciences.

SKU	Unavailable
ISBN 13	9783540272649
ISBN 10	354027264X
Title	Extreme Financial Risks
Author	Yannick Malevergne
Condition	Unavailable
Binding Type	Paperback
Publisher	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Year published	2005-11-02
Number of pages	312
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.