作者：(法)马勒沃根
页数：312
出版社：世界图书出版公司
出版日期：2012
ISBN：9787510044038
电子书格式：pdf/epub/txt
内容简介
本书是一部全面讲述与稀有事件金融崩盘有关的极值金融风险的书籍。证券投资组合与最优化，及其相关风险评估和管理，需要掌握不同时间尺度下的回报似然分布和不同评估下的相关性性质和本质。书中提供了这两个领域的基本概念和透彻的讲解，主要介绍对于大价格移动和极值价格移动仍然很重要的概念和工具。极值价格理论适用于广泛和深入了解该领域的学生，金融工程，经济学家，计量经济学家和保险统计专业，数学家和科研人员，帮助其对对不同模型的不同方面全面了解。
本书特色
《极端金融风险(影印版)》内容全面系统，既有很高的实用价值，又有很强的资料收藏价值，涵盖了The Multidimensional Nature of Risk and Dependence、Emergence of Dependence Structures in the Stock Markets、Discussion and Conclusions等内容，各章结构合理，层次清楚、叙述详细、文字流畅，非常适于阅读。本书由马勒沃根著。
目录
1 0n the origin of risks and extremes
1.1 the multidimensional nature of risk and dependence
1.2 how to rank risks coherently?
1.2.1 coherent measures of risks
1.2.2 consistent measures of risks and
deviation measures
1.2.3 examples of consistent measures of
risk
1.3 0rigin of risk and dependence
1.3.1 the capm view
1.3.2 the arbitrage pricing theory(apt) and the
fama—french factor mode!
1.3.3 the efficient market
hypothesis
1.3.4 emergence of dependence structures
in the sto’ck markets
1.3.5 large risks in complex systems
appendix
1.a why do higher moments allow us to
assess larger risks7
2 marginal distributions of returns
2.1 motivations
1.1 the multidimensional nature of risk and dependence
1.2 how to rank risks coherently?
1.2.1 coherent measures of risks
1.2.2 consistent measures of risks and
deviation measures
1.2.3 examples of consistent measures of
risk
1.3 0rigin of risk and dependence
1.3.1 the capm view
1.3.2 the arbitrage pricing theory(apt) and the
fama—french factor mode!
1.3.3 the efficient market
hypothesis
1.3.4 emergence of dependence structures
in the sto’ck markets
1.3.5 large risks in complex systems
appendix
1.a why do higher moments allow us to
assess larger risks7
2 marginal distributions of returns
2.1 motivations
