《极端金融风险》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。
目錄:
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 TheoryAPT 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
2.2 A Brief History of Return Distributions
2.2.1 The Gaussian Paradigm
2.2.2 Mechanisms for Power Laws in
Finance
2.2.3 EmpiricalSearch for Power Law Tails
and Possible Alternatives
2.3 Constraints from Extreme ValHe Theory
2.3.1 Main Theoretica!Results on Extreme
Value Theory
2.3.2 Estimation of the Form Parameter and
Slow Convergence to Limit Generalized Extreme Value GEVand
Generalized ParetoGPDDistributions.
3 Notions of Copulas
4 Measures of Dependences
5 Description of Financial Dependences With Copulas
6 Measuring Extreme Dependences
7 Summary and Outlook
References
Index