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 presents an innovative framework for analyzing extreme and systemic risk through an integrated approach, emphasizing simultaneous measurement, assessment, and management. It reinterprets Sklar's theorem from a network perspective, treating copulas as network properties that allow for independent and joint analysis of risks. With a focus on natural disasters, the text is designed for a broad audience, featuring practical examples and applications, along with comprehensive literature discussions in each chapter to enrich the reader's understanding.

Lingua: Inglese

Pubblicato: 2021

(In brossura)