Extreme Risk Analysis of Dynamic Interdependent Systems: With Applications to Sectors of the Economy and Financial Modeling - Softcover

Lian, Chenyang

 
9783836494762: Extreme Risk Analysis of Dynamic Interdependent Systems: With Applications to Sectors of the Economy and Financial Modeling
Softcover
ISBN 10: 3836494760 ISBN 13: 9783836494762
Publisher: VDM Verlag Dr. Müller, 2008

Synopsis

Over the past decades, risk analysis and risk-based methodologies have been widely and increasingly supporting government agencies and industries in the daily decisionmaking process. Among the various applications of risk analysis, significant attention has been paid to issues such as homeland security and financial modeling. This book addresses the extreme risk analysis of dynamic interdependent systems such as critical infrastructures and sectors of the economy. The application of interdepedent analysis in portfolio risk management is also discussed. An innovative methodology is discussed in this book to utilize the industry-type interdependency matrix to estimate portfolio VaR under extreme conditions. This book provides insights and sheds new lights on extreme risks in interdependent systems and portfolio analytics. It should be valuable to professionals in risk analysis, homeland security, and portfolio risk management.

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About the Author

Chenyang Lian, PhD, is currently a scientist in Fair Isaac Corporation, San Rafael, California, U.S.A. Dr. Lian has published numerous papers in many leading international journals. He is a regular reviewer for Risk Analysis, an international journal.

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Publisher
VDM Verlag Dr. Müller
Publication date
2008
Language
English
ISBN 10 
3836494760
ISBN 13 
9783836494762
Binding
Paperback
Number of pages
144