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Stefan Hochrainer-Stigler

    Extreme and Systemic Risk Analysis
    • 2020

      Extreme and Systemic Risk Analysis

      A Loss Distribution Approach

      • 168pages
      • 6 heures de lecture

      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.

      Extreme and Systemic Risk Analysis