"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
- ISBN10 3540272666
- ISBN13 9783540272663
- Publish Date 1 January 2006 (first published 2 November 2005)
- Publish Status Active
- Publish Country US
- Imprint Springer Verlag Berlin Heidelberg
- Format eBook
- Pages 321
- Language English