Extreme and Systemic Risk Analysis: A Loss Distribution Approach - Brossura
Libro 4 di 4: Integrated Disaster Risk Management
Sinossi
1 Introduction
References
2 Individual and Extreme Risk
2.1 The Loss Distribution2.2 Extreme Value Theory and Statistics
2.2.1 Distributions of Maxima
2.2.2 Distribution of Exceedances
2.2.3 Point Process Characterization of Extremes
2.2.4 Modeling the r Largest Order Statistics 2.2.5 Temporal Dependence and Non-Stationarity Issues2.3 Risk Management using Loss Distributions
References
3 Systemic Risk and Dependencies
3.1 Dependency Measures
3.2 Multivariate Dependency Modelling with Copulas
3.3 A Joint Framework Using Sklar's Theorem: Copula's as a network property
3.4 Differences and Similarities between Extreme and Systemic Risk Management
References
4 Application
4.1 Modelling Applications
4.1.1 Hierarchical Coupling: Flood Risks on the Regional Level.
4.1.2 Minimax and Structural Coupling: Pan-European Flooding
4.1.3 Vine Coupling: Large Scale Drought Risk4.2 Measuring and Managing Individual and Systemic Risk
4.2.1 Risk-Layering on the Regional Level
4.2.2 An Application to the EU Solidarity Fund
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