Extreme and Systemic Risk Analysis

A Loss Distribution Approach

Autori

• Stefan Hochrainer-Stigler

Parametri

• 168 pagine
• 6 ore di lettura

• Matematica

Maggiori informazioni sul libro

The book explores the integrated analysis of extreme and systemic risk, emphasizing simultaneous measurement, assessment, and management. It utilizes Sklar's theorem to separate multivariate distributions into marginal and dependency components, reinterpreting copulas as network properties. This framework allows for independent and joint analysis of risks across multiple scales, particularly in the context of natural disasters. Designed for a broad audience, it includes practical examples and extensive literature discussions in each chapter to enhance understanding.

Lingua: Inglese

Pubblicato: 2020

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