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"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.
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L'autore
Arthur Charpentier is currently researcher at University Rennes 1, after 5 years as Professor-Assistant at ENSAE (National School in Statistics and Economics). This monograph is based on his PhD thesis, defended in 2006 at Katholieke Universiteit Leuven. He has written two books in French with Michel Denuit on Non-life Insurance Mathematics.
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Dependence Structures and Limiting Results
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VDM Verlag Dr. Müller, 2008
ISBN 10: 383649244X
ISBN 13: 9783836492447
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Kartoniert / Broschiert. Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Extreme, synchronized rises and falls in financialmarkets occur infrequently but they do occur. Theproblem with the models is that they did not assign ahigh enough chance of occurrence to the scenario inwhich many things go wrong at. Codice articolo 5389519
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 'Extreme, synchronized rises and falls in financialmarkets occur infrequently but they do occur. Theproblem with the models is that they did not assign ahigh enough chance of occurrence to the scenario inwhich 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 isnowadays is key issue in risk management, it becomescrucial to get a better understanding of behavior ofcopulas in tails. The first chapter presents a surveyon copulae, and possible applications in riskmanagement. The following chapters present somecanonical theorems for copulae, and the link betweenthis approach and standard results on multivariateextreme is explained. A concluding chapter presents asurvey on graphical procedures to represent copuladensities (with proper fit) in tails. Codice articolo 9783836492447
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