Extreme Financial Risks: From Dependence to Risk Management

by Didier Sornette and Yannick Malevergne

Here is an innovative treatment of three critical ingredients of successful portfolio analysis, risk assessment, risk management and portfolio optimization: (1) the characterization of processes underlying the time evolution of prices, (2) the corresponding distributions of returns at different time scales and (3) the nature and properties of dependences between the different assets. The text illustrates the strengths and limitations of stochastic...

• Format: Paperback
• Language: English
• ISBN: 354027264X
• ISBN13: 9783540272649
• Release Date: November 2005
• Publisher: Springer
• Length: 312 Pages
• Weight: 1.15 lbs.
• Dimensions: 0.7" x 6.3" x 9.3"