Extreme Financial Risks: From Dependence to Risk ManagementExtreme Financial Risks : From Dependence to Risk Management by D. Sornette

Portfolio analysis & optimization, together with the associated risk assessment & management, require knowledge of the likely distributions of returns at different time scales & insights into the nature & properties of dependences between the different assets


This book offers an original & thorough treatment of these two domains, focusing mainly on the concepts & tools that remain valid for large & extreme price moves. Strong emphasis is placed on the theory of copulas & their empirical testing & calibration, because they offer intrinsic & complete measures of dependences.
Extreme Financial;Risks will be useful to:
students looking for a general & in-depth introduction to the field;
financial engineers, economists, econometricians, actuarial professionals;
researchers & mathematicians looking for a synoptic view comparing the pros & cons of different modelling strategies; &
quantitative practitioners for the insights offered on the subtleties & the many dimensional components of both risk & dependence.
In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural & artificial processes in which a growing emphasis is on the role & importance of extreme phenomena.
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