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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.
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About the Author
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.
"About this title" may belong to another edition of this title.
- PublisherVDM Verlag Dr. Müller
- Publication date2008
- ISBN 10 383649244X
- ISBN 13 9783836492447
- BindingPaperback
- LanguageEnglish
- Number of pages224
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Taschenbuch. Condition: 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. Seller Inventory # 9783836492447
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Dependence Structures and Limiting Results
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