01277nam a2200229Ia 4500 CTU_154869 210402s9999 xx 000 0 und d 1149000 658.15 M248 Malevergne, Yannick Extreme financial risks : from dependence to risk management Yannick Malevergne, Didier Sornette New York Springer-Verlag 2006 Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions 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. Investment analysis,Stochastic models,Risk management Mathematical models,Mathematical models Năm Trung tâm Học liệu Trường Đại học Cần Thơ